Choose 'check for updates...' from the help menu to check if you are using the most recent version of the program. You can also check the option 'Automatically check for updates' to have the program check for updates regularly.
The program will only be able to check for a new version if you are connected to the Internet. The program will not connect to the Internet on its own.
If a new version is available, this information will be shown in a message window, after which you are given the choice to visit the download website or to download the program directly.