You should have an app called "Settings". When you go into "Settings", you will see "Wi-Fi". Touch "Wi-Fi" and turn it on. It should automatically see your wireless router. Then you can join the network. It will probably require a password. I have the Samsung wireless router and the password is located in the battery box, so you have to remove the back cover.
I don't have an iPhone yet, but it should work exactly like the 4th Generation iPod I have. They come with the same basic features.
Hope this helps.
You should have set a memorable SSID in the router setup, rather than leave it as the default "Netgear" or "Linksys". AT&T U-Verse customers routers all begin "ZWIRE" followed by a three digiti number.
To establish wifi connection you do exactly as the poster above advises.
I also suggest you use some form of encryption, as unsecured wifi networks can allow others to freeload off your bandwidth.