Probably it is not necessary since the boards ship with the latest firmware.
Still the upgrade procedure is very simple. You download the latest UPGRADE program from the software section above, then connect your PIC-MCP with USB type B cable to your personal computer. Then you run the upgrade program.
All PIC-MCP-USB units, sold after January 2004, come with a PIC18F252 microcontroller and the following procedure should be followed: connect an USB cable, then run UPGRADE-130.exe and setup for the COM port where connected. After the message for a successful upgrade, un-plug the power supply and power again to re-start the new firmware.
PIC-MCP build before January 2004 and with PIC16F876A firmware have different way to upgrade: you have to put PIC18F252 in ZIF socket, remove ICSP jumper, connect USB cable, and then run UPGRADE-130.exe and setup for the COM port, after the message for successful upgrade un-plug the power supply and pull PIC16F876A from DIL socket and replace with the new programmed PIC18F252. All future upgrades will be made with the build-in bootloader inside PIC18F252 so you just have to run the newest PIC-MCP-upgrade.exe
VERY IMPORTANT: DO NOT PUT OTHER THAN PIC18F252 MICROCONTROLLER WHEN YOU RUN THE UPGRADE SOFTWARE