Depends on what iOS version you're running. If you're on 4.3.3 or lower you can do it from the Safari browser on your iPhone. Go into your Settings>General>About... and see what's next to "Version." That'll help determine if it's possible or not...
That means in order to Jailbreak it has to be done on a computer... sorry. :-( The last iOS version that coule be Jailbroke from the Safari browser was 4.3.3.