Up until now, RedSn0w 0.9.6 beta 1 only worked on Mac, but the Dev Team just updated the infamous RedSn0w jailbreak which is now compatible with Windows. This step by step guide and tutorial will show you how to jailbreak your iPhone 3G 4.1 using RedSn0w for Windows.
It's important to note that if you've already updated to iOS 4.1 you will not be able to unlock your iPhone. If you do need to unlock and if you're not on iOS 4.1 yet, I suggest you wait for the release of PwnageTool, which will allow you to update to 4.1 while preserving the baseband, thus enabling you to use UltraSn0w to unlock.
This tutorial is for the iPhone 3G only. If you have an iPhone 3GS 4.1 that you want to jailbreak, you're going to have to wait from Comex's next jailbreak. If you have an iPhone 4 on 4.1, you will have to wait until Sunday for the release of GreenPois0n.
The Mac version of this tutorial can be found here. This being said, here is how to jailbreak your iPhone 3G 4.1 with RedSn0w...