How do I install 3.0?

I have the actual 250 MB file on my computer, but when I open it up with iTunes, nothing happens. How do I actually install this 3.0 software on the iPhone?When I open up iTunes, it tells me that I have a new update, 2.2.1 (I never upgraded to this, I still have 2.2). Do I have to upgrade to 2.2.1 before the screen will show up with 3.0?

 

Anyone? I heard something about holding shift when you click the "Update" icon and then you choose whatever build you have. Or is there a way to refresh the iPhone home page to make the 3.0 appear?