Overview of what you would need to do: the Upgrading link posted above
Detailed instructions on what to do:
I will tell you a couple hints first though.
First, absolutely make backups of BOTH your database and all your files (they're in separate places on your server, and your post content is in the database while your theme layout is in the files). You can use a plugin to backup the database, or if you know about phpMyAdmin access on your host then you might be able to do it thru your host / server / cpanel. Backing up the FILES, I usually do that over FTP and backup to your harddrive.
You should do the backups anyway, regardless. If you upgrade now, you need to backup first. If you happen to wait on upgrading, then be sure you have backups in the rare event that one of the security holes in an out-dated version gets breached (in other words have a backup in case you get hacked before you upgrade WP).
The rest of the hint is, WP 2.6.5 just came out.... but WP 2.7 should be coming out very soon (probably within weeks).
Spend time first making SURE you have backups, and make that a regular routine. After that, if you have time now then upgrade to WP 2.6.5, but if it's already next week, check to see if WP 2.7 is coming out because you will probably want to upgrade to that (it has new features, including an automatic WP upgrade feature that will make allllll this stuff much easier from then on).