Well there would be a notification to let you know that you need to plug in to Zune to update if you missed the notification then the only way to check is to plug into Zune and do a force check through settings under the "phone" section when its plugged in.
after you've scrolled down and pressed on update it'll bring up the screen that has two checkboxes allowing to check over cell networks and to check over Wifi. in between the two descriptions and check boxes it'll show either "No update found." or that an update was found and you need zune to update. what device do you have? I think over at WMPoweruser.com they have a running list of confirmed carriers that pushed the update, so if your phone/carrier isn't there then your carrier might have blocked the update...
i understand what you guys are saying and i've done all this. i go to phone update and it says "no updates found," but that does NOT tell me if an update was found last week when they pushed it. i update my phone wirelessly (when plugged in), so i never even see it connected to the zune in the other room when it's powering overnight.
anyone know the version of the update? i could probably see that in the "about" section.