The post Nicka recommends you read is here:
http://androidforums.com/desire-all-things-root/503471-desire-all-things-root-guide.html
You don't mention root at all, but if you want to upgrade to anything other than the official 2.3 then that's what you need to look at. Within that thread I'd at least read the rooting FAQ, the root memory guide, and the guide to rooting using Revolutionary. Read them a few times, and if there is anything you don't understand after that do ask before proceeding (it's best to understand what you are doing rather than type stuff blindly). Revolutionary would be the rooting tool of choice. For partitioning, either GParted (described in the root memory FAQ) or 4Ext recovery are recommended.
If you do not wish to root, the newest official ROM can be found at
shipped-ROMs:
HTC_Desire_Android_2.3_Upgrade.zip. Unzip that an you'll find a ROM Upgrade Utility in it - a Windows executable that can be used to upgrade to 2.3. This will do a factory reset in the process, so back up anything important first. There is a trick to make the SD card the default app install location without root (and without a partition), or you can move apps manually without root.
Note that whether you wish to root or not, if you like HTC Sense then you won't be able to use an android version newer than 2.3 - no Android 4 Sense ROMs have been ported to the Desire.
Good luck, and if you are unsure do ask before proceeding - preventing problems is better than fixing them.