What firmware are you on? 3.0 ?
Here's a guide to jailbreak with links to everything you will need.
DFU mode - A special mode in the device that bypasses the loading of the operating system for recovery purposes; in this mode, the screen of the device is blank
DFU mode
INSTRUCTIONS
Step 1. Turn off iPhone
Step 2. Hold down the power and home button.
Step 3. When you see the Apple logo, release the power button but continue holding the home button down.
Step 4. Open iTunes and wait for it to tell you that it detects iPhone in restore/recovery mode.
Alternative method.
Step 1. While the device is on, hold down the Sleep / Wake and Home buttons for exactly 10 seconds, the device will restart.
Step 2. Release the Sleep / Wake button, but keep holding down the Home button for another 10 seconds.
Step 3. Release the Home button.