Sigma cameras use two software components. The first is the camera software itself, or "Firmware" - this is updated quite frequently and covers various aspects of the camera operation. Some firmware updates can add new features, so it's essential to have the most recent versions.
The camera firmware is available here (the FAQ entry may be behind on latest versions, but the links point to the most recent releases):
Sigma SD9 - Firmware Version 18.104.22.1682 - link
Sigma SD10 - Firmware Version 22.214.171.1242 - No firmware changes were made during production.
Sigma SD14 - Firmware Version 1.08 - link
Sigma DP1 - Firmware Version 2.00 - link
In addition to the in-camera software, for Windows and Mac OS users there is a RAW processing utility (Sigma PhotoPro) with preview and basic editing functions (rotate, resize when saving). This software is available for Sigma camera users as a direct download.
Windows - 2000/XP/Vista - Sigma PhotoPro 2.5
Mac OS "Classic" - Sigma PhotoPro 2.x (currently MIA, possibly no longer available)
Mac OS X - Sigma PhotoPro 3.2
For Linux users there are various utilties, support for the SD cameras is acceptable within David Coffin's RAW convertor, dcraw. This is not an official Sigma product. Adobe LightRoom and PhotoShop also support Sigma files up to the SD14 with DP1 support due in the next upgrade cycle. At the time of writing Apple's RAW support does not extend to the X3F file format. Read more