The first step is to make sure that you are signed up with Mobile Me! - do this from any computer at me.com. You can just sign up using your iTunes account login, so you don't need an actual me.com email address and you don't need to pay any subscription fee.
Once you're signed up (and confirmed), go to your iPhone's Settings page, then to Mail, Contacts, Calendars and then to Add Account.... Select the MobileMe option, and enter the same email address and password that you entered on the website.
You can then go back to the MobileMe website, on any computer, and can use the Find my iPhone page to locate your phone if you don't know where it is. It can take a short while (maybe a minute or more) to locate your phone. Once it is found, you can tell your phone to display a message and/or play a sound. You can also lock the phone with a new PIN, or even wipe it of all your personal data if you're convinced that you'll never see it again.