You cannot "update" a component installed by OPM, you only can re-install it. So when OPM shows you by means of the blue arrow that there is a new version and you want to update your current installation, check and install the package as if it were your first installation of it. At the end you will have the new version in the IDE.
However, you will only get the OPM version this way. As Juha noted this is always the most recent stable version released by the author. In order to get the most recent development version install the package from its repository, usually svn or git, and this will overwrite a previously installed OPM version. Installation from the repository is a bit more complicated than the one-click process of OPM: download the package via svn or git, or download the zipped sources, then open the .lpk file found in the package. When it is a designtime-package you must also click "Use">"Install" and rebuild the IDE. Sometimes there are several packages within the same download; here you must handle the packages in the correct order - have a look at the README file which often accompanies the download.