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You will need to do this on the same computer you sync with and make sure you have the latest version of iTunes installed. It's a good idea to disable your virus protection/Firewall for the duration of the update also. Do a complete backup of your iPad first.
I will include a link below to guide you and also one for troubleshooting the update.
This is going to be a very large jump across many different updates here and I hope it goes smoothly for you. Once updated you will be on OS 5.1.1, the jump to OS 5 was very large in itself and this will take quite a long time and is dependent on what you have on your iPad already. All future updates can be done OTA (over the air). You are going to be amazed at all the new features you will have. So good luck and let us know how you go.
[video=vimeo;30421920]http://vimeo.com/30421920[/video] http://www.ipadforums.net/ipad-help/49411-ios-5-upgrade-troubleshooting.html#post339338