Yes, you can upgrade Media Link HD to the latest version.
To check for updates through your phone, please follow the steps below:
[HTC Sense 4+]:
With your phone connected to the HTC Media link HD, slide the Notification panel open.
Tap HTC Media Link HD (Connected) > HTC Media Link HD settings > Check for updates.
NOTE: Your phone will check if Media Link HD firmware is out of date and automatically upgrade Media Link HD firmware.
[HTC Sense 4.0 and 4.1]:
HTC Media Link HD needs to have Internet access through your Wi-Fi router to check for updates.
On your phone, slide the Notifications panel open.
Tap Settings > More > HTC Media link HD.
When you see your HTC Media Link HD listed under "Available devices", tap it. (Make sure your HTC Media Link HD is set to "Off")
Tap Advanced settings > Check for updates.
NOTE: Your phone should be connected to a Wi-Fi network or 3G/4G network to update the software.