The first place you can get this is in Nurnen at Act II. When you meet Bruz by following the storyline, he will start giving you some tutorials about fortress siege. Each siege upgrade costs you 750 Mirians.
From this point, you will need to dominate two more captains (in addition to Bruz). You can assign the captains in the siege tab as siege leaders and equip upgrades to them. Note that, you will need to be at least level 20 to be able to make 3 siege upgrades.