NO you don't need to go like 3.20 then 3.30 and so forth, bc the FW 3.40 got all the old updates plus that's what it is called a update bc its "up to this date" so in other words its short for update.
But why the pc version when you can do the direct update from the menu but the other one works too, but it takes abit time and could be a pain in the a.s.s. But both works.
And if you forgot how you do the pc method, check this.
1. You need a usb drive that is larger than 168 mb.
2. Format that drive to FAT32 which you could do in windows or use this app that I use. http://2.gp/MZ9
3. Download the FW 3.40 which is the current (07.2010) http://2.gp/MZ8
4. On the usb drive that you should have formatted bye now (2), make a folder inside of it and name it PS3 and under that you make another folder and call it UPDATE. And inside of that is where you keep the FW file that you downloaded (3).
5. Then insert the usb drive into the ps3 and head to update via storage media.