Yep go into settings, general, software update. That will let you know if there are any available. I think it takes a long time though so make sure your battery is full or plug it in while it downloads. Make sure you do it through wifi and not mobile data, it'll probably eat your allwance in no time.
The check for updates is only available once you've upgraded to IOS 5 though (might be one of the later versions of 4, can't remember) so if you haven't done that you'll still have to connect it to your computer.