Apple released iOS 5 yesterday with over 200 new features.
To upgrade your iPhone 4 "Just connect your device to your Mac or PC and follow the onscreen instructions in iTunes." or so Apple will have you believe; unfortunately for the swarms of people with upgrade issues it's not quite so simple.
In my instance, when I try to upgrade, it takes 5-10 minutes before alerting me that "There was a problem downloading the software for the iPhone. The network connection timed out....". The advice on the error is to ensure that my network settings are correct and that my network connection is active. If you are reading this post then it's safe to say that all is well under the bonnet.
After looking around I stumbled upon a blog on the osxdaily site. http://osxdaily.com/2010/11/18/itunes-network-connection-timed-out-error-3259-iphone-update-fix/ and thanks to Manish Patel, I found that the network setting that Apple are referring to was my antivirus and firewall.
Although iTunes is added as a trusted application, the download was still being rejected. Temporarily disabling my antivirus and downloading the update again solved my problem.
For those with windows and Kaspersky Internet security 2011, to do this, click on the Kaspersky icon in your system tray (The one in the bottom right hand corner of the screen) and on the protection Center, click on the down arrow on the System and Applications Protection box. From this screen you can disable some of the antivirus options (Remember to turn them back on when you are done) and try the download again.