You don't. Its not available, unless you want to root your phone. If and when the update is available, you will know.
Besides that... you probably won't see 2.3.5 or 2.3.6. They are BUG FIXES people. They are not upgrades to your phones. The only and next update/upgrade to your phones will more than likely be, when we get ICS. No one knows when its coming out, Samsung customer support, AT&T and the blogs DO NOT have any answers as to when that will be. You will hear a numerous rumors, giving numerous dates. They will all be false. It will come, when it comes.
Here are the "upgrades/updates" for 2.3.5 and 2.3.6. Pay attention to which apply to the Captivate GSII
2.3.5
Improved network performance for the Nexus S 4G, among other fixes and improvements (doesn't apply)
Fixed Bluetooth bug on Samsung Galaxy S (old phone)
Improved Gmail application
Shadow animations for list scrolling
Camera software enhancements (doesn't apply)
Improved battery efficiency (doesn't apply)
2.3.6
This version fixed a voice search bug. (doesn't apply)