You may not have the latest firmware on your device. If this is the case, a new version is available under the heading 'Manager' on the right, with a blue 'Update' button next to it. Press this button to install the new firmware. If there is nothing there, you have the latest firmware and you can skip this step.
In the pop-up screen you first press 'Continue', then you have to verify your device by clicking on the right button of your Ledger and entering your pincode.
Now remove the USB cable from your Ledger, keep the left button of the device pressed and reconnect the cable to the Ledger until you see 'Processing' on the screen.
When the update is finished all you have to do is press 'Close'.