In order to use any SIM other than your local carrier, you must have an unlocked phone. If you have a phone which has been locked by your local carrier because it was purchased on a term contract, you may be able to get your carrier to unlock it for you if the term is complete. Otherwise you may need to have your phone unlocked by an unlocking service.
Jailbreaking your iDevices means freeing it from the limitations imposed on it by Apple. You install a software application on your computer, and then transfer it to your iPhone, where it "breaks open" the iPhone’s file system to allow you to modify it.