To find your current firmware version, go to menu/settings/about phone/software information.
There has only been one update for the phone so far. I posted a thread in this forum with a link to it. You have to download the Rom to your pc then connect your phone and install. (there are instructions on that website.)
The update adds the ATT software update feature to the phone, so you can check for future updates and install them over the air. We should be getting Android 2.2 soon...