First, be aware that your phone may have the new version of iBoot which is not susceptible to the 24kpwn exploit. If it does, then you will have a tethered jailbreak. Your phone will not be able to boot on its own and will require the use of a PC and blackra1n to get past the spinning apple logo.
If you don't know what that means or fully understand the implications of it, then do not follow the instructions below.
Windows
Mac