I just got my iPhone and was quite puzzled with some of the things, so here is my guide (which will come in several parts) about you every day tasks.
The SIM card is hidden in a slot which is located at the top of your iPhone (near the power button).So:
1. Power off your iPhone.
2. You will see a small hole there in which you need to insert something in order to push the button inside which will eject the SIM holder. I have use a needle (but a more comfortable way of doing this is to use office pins, because you can have a better grip on them)
3. Once you have the SIM holder you need to place your SIM card in it. You need to place it to it fits exactly the shape of the holder
4. Slide in the holder with the SIM card
5. Power on your iPhone.
Here is a YouTube(tm) video that I found useful: