HCP, all I see in Electrum is notification that new version is available, but not in any pop-up window, it is just message in main window. Is this option to automatically check for software updates only gives information about new version, or it is possible to update to new version via Electrum wallet directly?
I've found that if you click on this notification:
It will pop-up a window that has the update notification:
You can click on the blue link and it will take you automatically to the download page on electrum.org
You can test this quite easily by downloading an older "portable" version... say 3.3.6 from here:
https://download.electrum.org/3.3.6/Run it, and click "yes" when asked if you want to be notified of new versions. You should see the update notification at the bottom of the Electrum window as shown above and should be able to click through from there.