Help

I have never jailbroken my phone prior to today so take my advice for what it's worth. I had the same issue about the message saying that I need to install appsidy so I decided to do that. So here are the steps I followed:
1) Backed up my iPhone in iTunes.
2) Shutdown iTunes
3) Ran Spirit while tethered to my mac mini.
4) Restarted the iPhone after untethering
5) Connected to my Wifi
6) Stared up Cydia for the first time
7) Looked up MyFi (no rock) in Cydia
8) Decided to install Appsidy library as instructed
9) Selected link in Cydia to purchase MyFi and paid through PayPal
10) Followed link to download MyFi
11) Installed MyFi which then did a soft boot
12) Configured MyWi and tethered to it from my iPad!

This worked the first time for me. I think an important thing is doing all of the downloads via wifi rather then using 3G. Cydia and the other servers are being hammered right now and your connection to the servers will be intermittent. I had to do the downloads and responding to various screen prompts (Cydia's, Appsidy, etc) multiple times as the screen would often timeout before the screen could refresh. At least if you are using wifi you can make the most of your connections when you get a connection.

Good luck,
Pat