Well that depends... if you have access to an good old fashioned fairly clean Telephone line (Not VOIP) (If not you maybe Friends,Family or someone in the neighborhood) it's just a matter of plugging into a Telephone Jack and using a UTV Code like 8675309 via the Remote. (For Sony UTV OS 3.1 I think you'd need to enter it by pressing Options 3 times then 8675309 (Options-Options-Options 8675309) if entered properly the front panel will multi-flash colors and on power up should try and connect for a download.)
That'd be the simple option. If you want to upgrade the Hard Drive right away to an E-IDE/PATA 120 or 160GB or bigger (only 137GB used) then when you power up the UTV it'll automatically attempt to dial out for the upgrade. No Codes needed. (MAKE SURE TO REMOVE YOUR ACCESS CARD BEFORE REMOVING THE COVER!)
Not sure if the current OS is still being downloaded via the SAT but if you leave it plugged in for the next few days/weeks it may eventually schedule a download and update itself (Locally it was always around 3AM CT).
Then of course there is the more complex option which would require copying the UTV OS onto the Drive... which you might use if Telephone Service is particularly poor quality or unavailable (Service Constantly disconnects/fails to download... Normally it usually will "resume" or take 1 or 2 extra attempts for a download... but consistently dropped calls/downloads means you may have a lot of noise on the line... Try and bypass/remove as much as possible from the line (Surge Suppressors, Extensions) and Disable Call Waiting etc...)
There are posts on here that discuss what you'll need to transfer the OS to your computer.
Out of curiosity if your UTV is currently in service with 3.1... how's it holding up? I seem to recall the early OSes had some issues with "Spotlight" Local Channels, etc. Any issues you noticed with accessing various channels properly?