I've got the newest WP in all my blogs, and I don't see that, either. Fear not, here's another way to do it. But you'll need to look at and edit some code, but if you're not familiar with doing this, you should probably avoid it.
Appearance... Editor... and look at the right for header.php. Click that, and see if you can find some lines that look similar to the one below. For safety, copy the code and save it, in case you mess up.
<link href='http://fonts.googleapis.com/css?family=Ubuntu' rel='stylesheet' type='text/css'>
You can add your line after the other stylesheet lines, and see if that works. Obviously If that's over your head, or adding the extra line does nothing, you'll need to investigate, or get a geek to help you.
Go here, click on any font you like, and then click "Use Font" to get the code for that font: