Wow all I have to say is trying to jailbreak or unlock or whatever the fuck its called is probably the most confusing fucking thing I've ever tried to do. It doesn't help when there are 100billion videos on youtube and everyone does it a different way with a different program.
Download http://blackra1n.com/ and run it while your iPhone is plugged in. It will reboot after a minute or so, and there will be an app called blackra1n on it. Click on it and install either Cydia or Rock. It really isn't that confusing....