You'd put the file somewhere that the UEFI can read from - the ESP or a FAT-formatted flash drive are good candidates. Then there'll be a button that you can press to get into the UEFI setup, which varies by manufacturer and is generally displayed early in the boot process, or you can select it from the Grub menu or run a command to reboot into the UEFI setup. From there there'll be an option to update the firmware. Where the option is also depends on the manufacturer. You point it at the file you downloaded and let it do its thing. It will restart the machine when it's finished. A firmware update will generally reset everything to defaults, so you might need to go back into the setup if you'd previously made changes.
Edit to add: the idea of changing the UEFI firmware from within Windows gives me chills; if users can do it then malware can do it, too. Ugh. Also, the UEFI settings page isn't something to be scared of: you can't generally break anything in there, although you can make things not work. There is usually a reset to defaults option somewhere, which, again, varies by manufacturer, if you've played and made things not work.
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