Here is a link to the actual download page:
Latest K-x Firmware Update : Software Downloads | PENTAX RICOH IMAGING
Firmware is the program that runs the camera. Over time manufacturers improve things, add features and correct errors. If you are satisfied with your camera there is no need to update the firmware, but in most cases you will see some (minor) improvements. If I remember correctly they improved battery life and reporting on the k-x and added support for sdxc memory cards. And usually a firmware update will 'fix' things you never knew were wrong and they never told you about either.
The instructions for the update are on the link. Make sure you have freshly charged batteries. Download the file, extract it and put it on the root of a memory card. Root meaning the top level directory not in a folder. Then follow the instructions.
It is a little daunting the first time, but not all that complicated.