Open /Developer/Applications/Xcode.app After that you need to read the documentation, tutorials, get a book on iPhone development and/or the one on Xcode usage etc.
Learn to use your computer first. Then learn how to use Xcode.
You don't learn how to pilot an airplane just by getting in the cockpit and sitting in the pilot's seat. One step at a time.
You also haven't told us anything about your computer experience. That means we have no context to give more focused answers. For example, are you already a programmer who is familiar with the command-line? What is your experience with other computers?