Its easy, just follow these simple steps.
1. Connect your iPhone to your computer.
2. When iTunes launches, select your iPhone under Devices in the Source List on the left.
3. In the iPhone Summary tab, click Check for Update.
4. Click Download and Install. Do not disconnect your iPhone until the update has finished.
With the free iPhone 2.0.2 Software Update, your iPhone does even more. Extend its capabilities with innovative applications you download directly from the new App Store. Get push email, calendar, and contacts from your Microsoft Exchange server at work. And use great new features in Mail, Contacts, and other applications.