This can be done at a divinity statue in the first mission after obtaining enough white orbs. I would recommend getting aerial rave, level 2 as your first upgrade as it will come in useful against the "boss" of this first mission. As a side note, any upgrades you purchase throughout the game can be "unpurchased" and refunded at no penalty to re-spend on other upgrades, so don't spend too much time deciding what to get, they're never locked in.