When you download a new BIOS for the board there should either be with it -- or available via a link in that section of the Gigabyte support site -- a loader program.
These loaders fall into two types:
Ones which requires you to restart the computer from a boot up disk (used to be a floppy disk you created) and work at DOS level.
Or ones which work from within Windows -- these days most are like this I suspect.
Check the BIOS files you downloaded or have another look through the relevant section of the Gigabyte site. If in doubt send them an e-mail -- because it's important not to get this process wrong.
The key thing once you have the necessary files is patience -- let the process run and when it says wait, wait. If you reboot or power down at the wrong time you could wreck the board.
My general advice on these things, don't reflash unless you are having a problem which a new BIOS is known to fix.
First run the exe file and see if it's a self extracting compressed file containing others. Obviously read any readme, txt or doc files.
If DOS, the idea is to format a bootable floppy -- it's an option within My Computer. Then copy the relevant files to the floppy. Reset boot order in BIOS so the computer looks to boot from floppy first. Run any exe file.
Personally, I would be happier if you confirmed this advice with Gigabyte -- I'd hate to hear later that the motherboard was bricked.
I also have a strong feeling that any current motherboard will have a Windows based BIOS update -- simply because most computer now come without a floppy drive and most users could not deal with DOS.