You goto the company who make your router this might be Belkin, Linksys or whatever. Look in thier downloads/support section for firmware updates. Pick the correct firmware for your router (same model and version number)
Go into your routers config by typing your routers IP into Windows usually this is 192.168.1.1 you can find this by going to START > RUN > CMD > IPCONFIG and look at default gateway that's the routers IP address.
Type that into your browser and you SHOULD get a screen asking for a username and password. If you've not messed with this it will be the default you can find sometimes in the manual or on the router if not this site has a lot of routers usernames and passwords.
http://www.phenoelit.de/dpl/dpl.html
Once you're in look for the firmware upgrade section might be under Admin or or something you should have a box asking for the firmware normally you click BROWSE and pick the firmware you downloaded from the companies website (Linksys, Belkin, or whoever) and then it will upgrade -- I recommend the computer you use is wired and not wireless incase your wireless drops this could 'brick' the router.
Once it's done you MIGHT need to reconfigure your ISP details, wireless encrption, etc
If the update failed it's possible that it's the wrong firmware -- I recommend sticking to offical firmware too.