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Microsoft recommends that you check for Windows Mobile updates about once a month. Likely, you're already in the habit of checking for Windows updates for your PC (perhaps this even happens automatically). For your mobile device, you can do it manually—either directly from your phone's browser or by syncing with your computer.

From your handheld: You must have a data plan over 3G or use Wi-Fi:

1.) Point your browser to: http://mobile.microsoft.com/windowsmobile/en-us/updates.mspx
2.) Click the update link for your device, version, etc.
3.) Follow the instructions, which may include running a file after you download it to your device.

To update via computer with your phone connected:

This method will not result in any data charges.

1.) Connect your phone to your Windows PC using Bluetooth or a USB cable.
2.) ActiveSync or WMDC should open automatically. If it doesn't, launch it manually.
3.) Point your browser to this Updates for Windows Mobile page.
4.) After your sync is complete, you can select the upgrade you want on the browser page.
5.) Follow the instructions for accepting the licensing agreement, downloading the file and installing it on your phone.