Latest firmware for e71 400.21.013
Dated 22-10-2009
Rest all the instructions provided by members above are correct and are the same instructions that the Nokia PC Suite itself provides.
One problem that happened with me when I updated my firmware was regarding wifi access points. Do make sure that you have disconnected WIFI before you go for the upgrade. Secondly, in case you have bought the phone second hand and don't know it's code, do get hold of that number before you upgrade because it will ask you for that code and unless its the usual 0000, 00000, or 12345, you'll be in trouble.
Hope this helps.