It's typically a short, pain free process. But many newcomers to jailbreaking just start downloading jailbreak programs and start doing unnecessary steps which end up causing a lot more problems in the long run. Best advice when a jailbreak comes out is to read a few tutorials on the process and get familiar with the terminology. That's how I approached it and I've never had a problem jailbreaking ever.
If you're on a jailbreakable firmware, it usually involves downloading a program (absinthe or redsnow for example), connecting your device, and either clicking the button that says "jailbreak" or you follow the instructions that said program will display. Like the other poster said, watch some videos or read some tutorials. It's mindblowingly simple but so many uneducated, impatient people make it so much harder by just downloading and clicking buttons. Check out ijailbreak or iClarified for some tutorials.