Step 1: Download iOS 4.0.1 for your version of iPhone.
Step 2: Update to this latest firmware using the IPSW file you just downloaded via iTunes 9.2.
Step 3: Start Redsn0w 0.9.5b5-5 and point it to iOS 4 (Final Version), and not iOS 4.0.1 firmware file to proceed with the jailbreak.
Step 4: Now select “Install Cydia” and click “Next”.
Step 5: Now make sure your device is both OFF and PLUGGED IN to the computer before you click “Next”.
Step 6: Connect your device in recovery mode by pressing the Power and buttons continuously.
At this stage you will be presented with a screen where you will have to quickly hold “Power” button and then while holding the “Power” button, you will now have to hold “Home” button too. Now after few seconds release “Power” button but keep holding “Home” button until installation begins.
Step 7: Sit back and enjoy while redsn0w will do all the rest for you. Once done, your iPhone and/or iPod touch will restart automatically and you will find it jailbroken on the latest iOS 4.9.1 Beta firmware.
Redsn0w 0.9.5b5-5 for Windows
Redsn0w 0.9.5b5-5 for Mac