The so called PwnageTool for Apple Macintosh computers was released a while ago that enables you to to jailbreak the Apple iPhone so that you can sideload applications on it among other things. Sideloading refers to installing applications that are not offered via Apple's official store for the phone but via third party sources. Users should not confuse jailbreaking with unlocking the iPhone. Unlocking simply means that the phone provider lock is removed so that it is now open to other provider networks and services.
The WinPwn software is compatible with Windows XP and Windows Vista 32/64 bit and users have to make sure to uninstall any previous version of the software and that a compatible version of iTunes, that is iTunes 7.7, is installed on the system.
The Apple iPhone Apps website published a detailed walk through of the process that it takes to jailbreak the iPhone under Windows and it is probably a good idea to use it for guidance.
Update: It is important that you always download and use the latest available version of the program on your computer system to ensure maximum compatibility with your phone. You can download the latest version of the program via the website or Bittorrent as it is officially listed on sites such as The Piratebay.
I'd recommend you start reading up on the procedure before you start jailbreaking your iPhone or other Apple devices, as it is something that needs to be done carefully to avoid bricking the phone or damaging it in other ways. A great way to get started is the tutorials section over at Clarified which explains what you need to do after you select your iOS device, the firmware version and the operating system that you are using.
The tutorial explains in detail, and with screenshots, how you jailbreak the selected device then.