Automatic update is supported on WordPress version 2.7+, so if you have a version older than 2.7, your option is manual update.
You also need to update in several small steps as there are some changes to the Database at some versions. I have seen threads a while back about problems making too big a jump at one time. Sorry I don’t remember where the list of steps are posted.
Make sure you backup both your standard content files and the Database (separate items) in case you have problems.
With a bit of luck one of the moderators will stop by here with the versions numbers for the upgrades.
The “semi-official” WordPress major upgrade path:
1. Backup the files and the database.
2. Download WordPress 2.5.
3. Do a manual upgrade to WordPress 2.5.
4. Repeat step 1, but don’t replace the previous backup (keep both on hand).
5. Download WordPress 2.7.
6. Do a manual upgrade to WordPress 2.7.
7. Repeat step 1, but don’t replace the previous backup (keep both on hand).
8. Use WP’s automated upgrade to system to upgrade to 3.0.1.