This is how I did it. This is completely safe and all my apps and data remained exactly how they were previous to the Jailbreak. As a pre-caution, do a full backup of your iPhone in iTunes prior to doing this, also backup the iTunes directory on your computer %userprofile%\AppData\Roaming\Apple Computer

How to guide on YouTube: – http://www.youtube.com/watch?annotation_id=annotation_967481&v=0aKinhARYNg&feature=iv

Software that I used, called Redsn0w: – http://blog.iphone-dev.org/

Apple iPhone Firmware: – http://iphoneroot.com/firmwares/