The pyboard comes with MicroPython firmware running on it out of the box so you can get started using it right away.  If you'd like to update the firmare to the latest version of MicroPython you'll want to carefully follow the official instructions for updating pyboard firmware.  At a high level these steps are:

• Download the latest MicroPython firmware for the pyboard.  Be sure to get the version of firmware that matches your pyboard (like v1.0, v1.1, etc.).
• With the board disconnected, connect the DFU pin to the 3.3V pin to enable DFU mode.  You might need to solder headers to these pins on the pyboard and connect them with a wire.  See the photo below for an example of headers soldered to the pyboard v1.1.
• On Windows follow the steps in the instruction PDF.  You'll need to at least follow the USB driver section 4 DFU to install a special STM DFU driver.  Then follow the "Using DFU to upgrade Micro Python" section at the end to use the DfuSe GUI tool to perform the DFU with the firmware file.  After updating the firmware be sure you've followed the CDC serial driver install steps below to access the REPL over a COM port.
• On Mac OSX or Linux follow the instructions to use the dfu-util tool (installed with a package manager like Homebrew on Mac OSX, or your native Linux package manager) to perform the DFU with the firmware file.

Jump to the Serial REPL page in this guide to learn how to access MicroPython's 'command prompt' on the board.

Example of soldered in headers and wires connecting the DFU pin to 3.3V:

Windows CDC Serial Driver Install

On Windows you'll need to install a special driver to make the pyboard's serial REPL available.  Unfortunately this process is a little complicated if you're using Windows 8 or above as you'll need to reboot into safe mode to support the installation of an unsigned driver.  Carefully follow the USB driver section of the pyboard Windows instructions to boot into safe mode if necessary and then install the pybcdc.inf driver.  Once installed your pyboard should show up as a serial COM port when connected to the computer.