OK, I'm not completely clear on which direction you want to go, so I'm going to say more than is probably needed.
My understanding from your question is that you
- Already have Windows and Ubuntu 11.10 installed in different partitions on your laptop's hard drive.
- You want to install Ubuntu 12.04.
It is not clear to me whether you want to migrate/upgrade your current 11.10 install to 12.04 or install 12.04 separately from both Windows and 11.10.
It seems most plausible that you simply want to upgrade your 11.10 to 12.04. This is what the suggestions to run the command
do-release-upgrade in a terminal window were about. This is one of the ways to begin the upgrade process.
Actually, there are several different paths you can take to upgrade an existing install to 12.04. These are covered in detail in this question: How do I upgrade from 10.04 or 11.10 to 12.04? which I suggest you look at.
While it is possible to upgrade from 11.10 to 12.10 without install media, my opinion is that it's not a bad idea to have a 12.04 Live CD or USB available "just in case" it happens to be needed.
And if you do want to install 12.04 but also keep both Windows and 11.10, you will definitely need to boot from a 12.04 Live CD or USB.
Whichever way you go as long as Windows is already installed when you begin, it should be detected and included in the GRUB boot menu. This works the same way in 12.04 as it did in 11.10. You should not need to bother with
sudo update-grub. It should happen as part of either upgrade processing or new install processing.