You will need an unlocked iphone. If you don;t you can find instructions to unlock yours here in this forum.
You can search the web to find out how to cut a regular sim into a microsim (which iphone4 uses). Pay special attention to the orientation of the phone card when you cut it. It is an easy job. I did it myself (with a pair of scissors) and it is working (I have an unlocked iphone4)