Go to http://www.Redmondpie.com or google red snow for your iOS version. You can't currently Jailbreak the 4G untethered if it is on iOS 5 meaning if you turn off your device or it runs out of battery you need to connect it to your computer and run the Jailbreaking program to boot it up.
I am going to rephrase "Akarin's" post to clarify what he mentioned. I think he missed some details pertaining to the statement
"Jailbreaking iOS Devices is the first step that could lead to hell if you are unsure of what your doing. Jailbreaking should only be done if you know how to and if you know the risks your taking. Afterwards, you can proceed the jailbreaking process for more customizations options and perhaps other tasks that I refrain from talking about..."