Updating cd drive firmware
It's unlikely that the device is set up in a way where you have to manually download the firmware and then manually apply it.
For example, you might be able to update the firmware on a gaming console by just accepting any prompts to update the software.
Apple i OS devices like i Phones and i Pads also occasionally get firmware updates, as do Android phones and tablets.
These devices let you download and install the firmware from the device itself so that you don't have to manually download and install it yourself. However, some devices, like most routers, have a dedicated section in the administrative console that lets you apply a firmware update.
One example can be seen when downloading the firmware for a wireless router like the Linksys WRT54G.
Just visit that router's support page (here it is for this router) on the Linksys website to find the downloads section, which is where you get the firmware.