I am using a recently updated iPhone 3GS 4.3.3 and this is how I jailbroke it using redsnow on Windows 7.

Prerequisites

1. iPhone 3GS 4.3.3 Firmware
2. iTunes
3. Redsnow
4. Internet connection

This is fairly simple

1. Install iTunes
2. Make sure your iPhone is updated to 4.3.3
3. run redsnow
4. Browse for and select the 4.3.3 firmware file and press next(requires Internet connection)
5. Select install Cydia, press next
6. Follow the instructions to put your phone in DFU mode (on windows I had to do this twice because windows 7 first looks for updated drivers on the internet)
7. wait until redsnow shows done

Thats it, your iPhone reboots with cydia installed