The Palm Pre has a built-in update feature that not only keeps webOS up-to-date but also updates your applications from the App Catalog. To check for updates click on the Updates app (on the third page of the launcher). If a system update is found you can choose to download it right away or allow the phone to download it in the background. If your OS is up-to-date but there are application updates available you will see a screen like this:

Just click the ‘Install Free’ button to install the updates.

For more information on updating check out Palm’s page.