Just to make it clear, the start_amp_upgrade command will grab the file only if your AMP has access to the internet. You'll know if you have such access if you see the username and password prompt (this prompt is triggered by the support.arubanetworks.com site).
In a closed environment that doesn't have this access, then you'd have to download the upgrade package from the support site and then SCP it into /root (the start_amp_upgrade command looks for the file in /root by default -> if you choose a different location for the file, then you can use the '-f' flag to point to that directory).