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1) Make sure its on and unlocked.
2) Press the Home Key (the real button at the bottom of the display twice. That will cause a ribbon of application icons to appear at the bottom of your screen.
3) Press any of the icons at the bottom of the screen for a couple seconds until they start to shake and a little - shows up in the upper left corner
4) Start tapping the - marks. (Its real important that you make sure this is done to the icons that popped up in step 2.) Each time you do the icon will disappear. You are NOT deleting anything from you phone, just removing it from memory
5) Shutdown your phone. You do that by holding both the Home Button (see above) and the Sleep Button (the only other real button, located on the top edge of the case until the red arrow pops up. Slide that arrow to the right.
6) Turn your phone back on by pressing the Sleep Button
iOS 4