If firmware 4.0.2 or Up
 
Installing Cydia   

If 4.02 or up firmware,
Attach your iPhone / iPad to your PC or Mac via your USB cable first.

From Your PC or Mac Run:
Run the latest http://www.limera1n.com

Another Way To Install Cydia if for some reason the above did not work:
REDSN0W 0.9.6b4  for Mac: http://www.iphone-storage.de/redsn0w_mac_0.9.6b4.zip      | (Video Instructions )

REDSN0W 0.9.6b4 for Windows: http://cdn.nspwn.com/redsn0w_win_0.9.6b4.zip       | (Video Instructions )

 If this worked, continue to  FLASH or TETHERING  INSTALL

 

Find out what firmware version you use on the iPhone or iPad:
Steps:
   Settings,    General,    About,    Firmware