Step 1 – Make sure your iPhone is running iOS 4.0.2 , to do this , plug your iPhone into your computer , fire up iTunes and click on the ‘Check for Update’ button
Step 2 – Click the settings icon , and choose Mail, Contacts, Calendars
Step 3 – Click the ‘Add Account’ icon and choose the type as ‘Mobile Me’
Step 4 – Enter your Apple ID and password. If you have an iTunes Store account or have ordered from the Apple Online Store, you already have an Apple ID. If you don’t have an Apple ID, tap Create Free Apple ID and follow the onscreen instructions. If you’re already a MobileMe subscriber, enter your me.com or mac.com email address and password.
Step 5 – Check if your account needs verifying . If your MobileMe account says “Not Verified,” check your email inbox for a message from Apple. Click Verify Now and sign in with your Apple ID. If you don’t see a verification email in your inbox, select your MobileMe account and tap Resend Verification Email.
Step 6 – Return to the MobileMe screen and switch on Find My iPhone. When the Find My iPhone message appears, tap Allow.
Step 7 – This is the cool bit ! Goto your PC or Mac , goto www.me.com and sign in with your Apple id. You will now see the location of your iPhone AND you can lock it , wipe it or simply send a message or play a sound on it.. VERY COOL.