Yes, you need to plug the iPad in to your PC. Ensure you have the latest version of iTunes and make a backup of your iPad.
Then, as f4780y said, connect the iPad (via the USB cable) to your PC. Open iTunes and, after iTunes "sees" the iPad, make the backup (right click on the iPad line, select "Backup"). Then, select "Upgrade" in iTunes.
iTunes will do its magic and, when prompted, you will elect to "restore from backup." iTunes will put your iPad back the way it was - except you will now have the latest version of the iOS.
Hope this clarifies. Holler back if you need more assistance.
Marilyn