What to do next

[Bodee2010]

I just bought a new I phone 4 which is locked from USA and I am in Egypt when I start the phone, screen instruct me to connect it to ITune's, I didn't (of course) insert my local MicroSim, my questions; first should I connect it with Itunes? How do I know the version of OS? so then what are the steps to jailbreak it and unlock it (of course if its 4 or less than 4.0.1.
please help me or tell me where I could find these answers in the great forum
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