As stated in the other two posts you must have an active Mobile Me account. If you do, then on your iPhone
1. Go to "Settings" it should be on the first home page and looks like a gear wheel. Then in settings
2. Choose Mail, Contacts, Calendars.
3. Under "Accounts" Choose the name of your Mobile Me account.
4. At the bottom of that page you will find "Find My iPhone". Turn it on.
That is all there is to the set up.
Now if you loose your iPhone you can go to any computer (Mac or PC) and go to
www.me.com and log in with your Mobile me name and password.
Click "Account Settings" (lt is the same icon as the "Settings" on your iPhone). You may be asked again for your password, give it. On the panel on the left you will see "Find My iPhone", click it and a map will appear showing where your iPhone is. lt doesn't matter if the phone is turned on or not, but the phone must have power.
By the way you can also wipe the memory to prevent loss of private info. remember when you next sync your phone (if you get it back) you will restore all your data. It will also ring to alert someone there of its presence. And it can display a message to the finder to return it.
One thing about wiping its memory is that once this is done Find My iPhone will no longer work because the memory is restored to factory defaults.
I hope this helps you.