Honestly if you are wanting to jailbreak just to change the SMS tone, I wouldn't even bother unless you are gonna take advantage of the other things that the jailbreaking offers. I'll assume you have an iPhone 3G since you didn't bother saying what kind of phone you have. Here is a guide with pictures. http://www.iclarified.com/entry/index.php?enid=4254
Spend a little more time researching. There is a ton of information out there (GIYF), go find it. You need to get a little further along before we can really help you here.