This article is for the iPhone 3GS with a new bootrom only. If you have another device, then this article is not for you.
Either you can create a custom firmware with sn0wbreeze
(on Windows) or PwnageTool
(on Mac), pwn your device (with same tool or with redsn0w) and install it with iTunes.
If you have 4.3.1 or 4.3.2 or 4.3.3 already installed just run redsn0w
to install Cydia.
Please note that if you update to 4.3.x directly, without a custom firmware, you update your baseband. Any baseband version higher than 05.13.04 (was included in iOS 4.0.2), causes you to lose the possibility to unlock. So only upgrade with a custom firmware.