That was the first time I've ever seen them reference updating printer firmware, so I don't know. I assume it's just a few mouse clicks and it takes care of it on it's own, but I don't know. HP is fairly good about putting good directions with it's updates.
The usual warning with any firmware updates, make sure the power doesn't go out (as in don't trip over the cord) during the upgrade, or you could make the device completly dead if the update doesn't finish.