Always back up your SHSH files before jailbreaking. This will preserve your ability to downgrade in the future. You must also find out if a tethered jailbreak is necessary on your device.

1. To see if you can jailbreak untethered find out if your iPhone is an MC model. All iPhone 4 models currently require a tethered jailbreak. If you don't want to have to boot your iPhone tethered every time you turn it off, then wait for Dev-Team to develop an untethered solution.

2. Ready to jailbreak? Download the redsn0w 0.9.6b4 software from iPhone Dev-Team. Install and run redsn0w.

3. Use redsn0w to select the IPSW file matching the current iOS version installed on your iPhone. You may want to make a backup of this file before jailbreaking, otherwise an official version can be downloaded later if necessary. These firmware files are stored in a directory on your computer. If you can't see the files in Windows make sure Windows is set to show hidden files. Here are example files:

iPhone 4 running iOS 4.2.1: iPhone3,1_4.2.1_8C148_Restore.ipsw
iPhone 3GS running iOS 4.2.1: iPhone2,1_4.2.1_8C148a_Restore.ipsw
iPhone 3G running iOS 4.2.1: iPhone1,2_4.2.1_8C148_Restore.ipsw

4. Redsn0w will verify the firmware file and prepare jailbreak data.

5. Select the check box next to Install Cydia and click Next.

6. Make sure your iPhone is plugged into the computer and TURNED OFF then click Next.

7. Follow the on-screen instructions carefully to put your device into DFU mode. When the iPhone enters DFU mode redsn0w will proceed to install jailbroken firmware.

8. Redsn0w will notify you when your jailbreak is complete. If you need the tethered jailbreak on your model iPhone, make sure to immediately boot tethered before using your device, otherwise Cydia and jailbreak apps will not work.

Enjoy your jailbreak.