Placing the firmware update file is not enough, you need to find it, click on it and do the firmware update first.
Finding the file depeneds on the firmeware you are currently using, I would try to create a new folder in root called ROMS .
Put the firmware there and try to find it there in your Vecfever file browser and click on it.
After that your Vectrex will reboot and check the firmware. If you see 2023 on the boot screen it should be already fine.
You also need to include all new ROMs on the game list later.