The brains of your tablet is in the firmware. Firmware is a special kind of computer software that is stored on your device. More from Wikipedia: https://en.wikipedia.org/wiki/Firmware.
Generally speaking you can avoid thinking about firmware.
However. every now and then you may need to upgrade the firmware in your tablet.
The process of upgrading the firmware is usually very simple for a drawing tablet. You open the driver application and there's usually some button to indicate that you can upgrade the firmware or to check if there's a new firmware version available.
Updating the firmware is unlikely to damage your tablet in any fundamental way. However the firmware can change the behavior of the tablet. For example it might change how responsive the pen is because it might add or remove position smoothing.
In a general sense it's best to have the latest versions of the firmware. However I think that unless there is a specific problem you're having you should avoid upgrading the firmware.
If you are considering installing firmware to fix a problem please make sure you have contacted support first. They may have specific versions of firmware they want you to use. They may want you to try a different firmware version to test something out. And certainly they may know that certain firmware should not be installed.