WordPress MU will usually display a message in the admin panel informing you when an upgrade is available and offering you the chance to upgrade immediately. This feature is very convenient and can save you a lot of time when it works. However, it does not work well on all web server setups and, when it goes wrong, it can cause a lot of problems.
Before you perform any kind of upgrade, you should make a backup. If you already have a backup strategy in place, then you probably already have an up to date backup of your web site's files, as things such as plugins and theme files don't change all that often. Still, your database will need to be backed up.
Before you perform the upgrade, you should put your web site into maintenance mode (which you can do using the Maintenance Mode plugin available at http://wordpress.org/extend/plugins/maintenance-mode/) so that your users don't add any posts or comments while the upgrade is taking place. Once the site is in maintenance...