One-Click Wordpress just got bumped to 2.6.5 today. You don't want to do the one-click upgrade?
For manual upgrades, you can rename the WP directory to something like .old, then unzip the 2.6.5 file and give it the proper directory name. Then copy your theme file(s) over to the new directory.
Your content is stored in the database, so you won't lose any of it. Even the one-click upgrade retains your database. Once you have your new installation set, go to:
and that will handle any database updates that need to happen.