drag them onto a new page to the right of the springboard (desktop), you're allowed 9 pages (144 Apps) in total + 4 on the dock. (I believe this is increasing in OS 3.0)
You can channg the ones on the dock just by draging apps on or off it.
I'ts a shame you don't get a decent manual with the phone out of the box. You can download it as a PDF on the apple website:
http://manuals.info.apple.com/en_US/iPhone_User_Guide.pdf