Can i jailbreak my iPhone 4 by myself?

I'm just wondering can i jailbreak my phone myself. If so how? My boyfriend jailbroke his, and he always rubs it in my face how his is cooler.
Because it is! I have no idea even where to start with it.

Also, what's the difference between a jailbroke phone and one thats not?

Yes, and it's so simple! Just go to evasi0n.com

Jailbreak using evasi0n http://evasi0n.com/ Compatible with all iPhone, iPod touch, iPad and iPad mini models running iOS 6.0 through 6.1.2 if you have lower version use redsn0w
https://sites.google.com/a/iphone-dev.com/files/home/redsn0w_win_0.9.15b3.zip?attredirects=0&d=1

Read about difference between jailbroken here
http://www.simonblog.com/2008/10/05/why-jailbreak-top-5-reasons-to-jailbreak-iphone/