The firmware is inside the processor inside the MJLJ - you only need to download it to your PC if you then want to move it to inside the processor inside the MJLJ.
If you had a MJLJ kit, then the firmware is already inside the processor, but it could be 4.0.0, 4.0.1 or 4.0.2 depending how old it is.
The latest versions of the Configurator and firmware are 4.0.2.
I would recommend downloading the V4.0.2 Configurator from
http://www.autosportlabs.net/MJLJ_V4_Downloads and installing it on your PC. Then connect your MJLJ to the PC and go to Help|About on the menu. It will tell you the version of firmware inside the processor inside the MJLJ.
If it is 4.0.2 then you're good to go. If it's older, then you're recommended to update it to 4.0.2. Read the instructions at
http://www.autosportlabs.net/MJLJ_Firmware_update .. if you can't understand a word of them, come back here with some questions - otherwise, just update the firmware and you're good to go...