go to itunes update your phone with the latest firmware 4.3.3. Then go to jailbreak me.com this will install cydia then you can install third party apps from their. Do a bit of research first yourself as im not sure if it updates baseband which could lock your phoen to your provider.
Looking at a few websites they're saying jailbreakme 3 isn't really secure at the moment and comex is working on it. Think I'd leave it for a while as they had the same issues at first with no. 2. Saying that think it's only from certain sites that can cause an issue.