I would like to know if my telit GM862 GSM need to be updated.
Is there any AT command to know which s/w version is running?
Which is the latest version that it should be running?
AT+CGMR will show you the number of version. You find more information in "Telit GM862-PCS/-GPRS/-GSM Product Description" at chapter 6.5.
For new firmware please follow the link to roundsolutions above.