The HTC website has detailed instructions on how to install the new firmware and it is worth doing it slowly - unless you're very confident.  I know I wasn't the first time and it took me around an hour to complete the procedure although it should be quicker.

The ROM that you will need depends on your phone operator/carrier, so please be sure to select and download the right version. HTC actually does include a one step 'checking' system to reduce the chances of a user downloading the incorrect ROM.

The ROM updates can be found below (list for UK):

http://www.htc.com/uk/supportdownloadlist.aspx?p_id=283&act=sd&cat=all

You will need to install the HTC Sync software first for your computer to detect the phone correctly. This can be found on the HTC website or the SD card that came with your phone (applicable to Orange UK at least)

p/s: The latest version of HTC Sync crashed my wireless drivers, so I had to use the one from the SD card. It took me over an hour to install the ROM as I had to uninstall/re-install different versions of HTC Sync and backed-up drivers. The actual process of loading the ROM took around 10-15 minutes.