Create a folder in your Joomla root called jupgrade.
Download Joomla 2.5.4 and extract it in the jupgrade folder. http://joomlacode.org/gf/download/frsrelease/16914/73508/Joomla_2.5.4-Stable-Full_Package.zip
If you have already run jUpgrade and it failed, clear your browser cache now.
Click Start Upgrade.
If you still have problems with jUpgrade, see the following forum post on jUpgrade; it addresses this issue.
Once you have successfully upgraded Joomla 1.5 to 2.5.4, you can upgrade Joomla 2.5.4 to 2.5.6, but I would wait until Joomla comes out with another release. Joomla 2.5.6 is still full of bugs and inconsistencies.