The phone you get should already have the newest firmware available, so you probably won't have to worry about that.

If not, you could install it yourself via USB cable (probably sold separately if you're getting the Cingular/AT&T version not positive on that though) and through a site like wotanserver.com

But usually a site like wotan is used for unbranding (to generic firmware, which is mostly better) and unlocking (so you could use any SIM card on your phone).