In Malaysia, Lumia Denim comes to Nokia Lumia 525, Nokia Lumia 620 and Nokia Lumia 720
Other improvements include faster downloading speeds when browsing mobile websites, and the ability to customize the Start screen by allowing limited access to specific games and apps. This is a capability that could be used by employers giving out Windows Phone handsets to employees. And with VPN, you can keep your privacy when using the internet over a public or home Wi-Fi connection.
The update is being sent out OTA and since it is sent out on a staggered basis, it might not show up on your device for a few days. You can look for the notification manually by going to Setting > Phone update.
source: Microsoft, LumiaConversations via Soyacincau