First, open up Safari on your iPhone and go to http://www.jailbreakme.com OR http://jailbreakme.modmyi.com. Slide the unlock bar to begin the jailbreaking process. If you are stuck at the 'purple screen of nothingness' ;-), please ensure that you:
1. From Settings -> Safari -> Set Accept Cookies to NEVER
2. Turn OFF pop-up blocker (this is very important!