Unfortunately, one of the bugs prevents the iPhone 5 from receiving the update without downloading a special app first. (You can also update by syncing with iTunes.)
Here's what to do if you have an iPhone 5:
Go to Settings > General > Software Update. At the bottom of your screen, you'll be prompted to "Learn More" about the separate updater app you need to download. Tap Learn More and download the app.
An app called iOS Updater will appear on your home screen. Launch it. You'll be able to install the latest iOS software update now. The app should automatically disappear from your home screen once the update is complete.