pull up youtube.com and search for "Jailbreak IPhone" there will be numerous videos on it, most of about 1 to 3 minutes in length.
Anyways, Apple puts a lot of restrictions on software that can be sold and installed in their app store. This reduces the chances of one app conflicting with another, at the cost of personal tweaking ability.
When you jailbreak your phone, you remove some of the restrictive devices that apple installed in their operating system. Once that is done, you will see a program called Cydia. Cydia is an installer app just like the app store. Here you will be able to obtain third party software to do what you want it to do, but the software on Cydia is not sanctioned by Apple.