Creating the new project
If you have installed the iPhone SDK/Xcode, then you can launch Xcode by navigating to /Developer/Applications. Once there, you can double click on the Xcode application (you may also find it handy to just drag the icon to the dock if you will be using it a lot).
Once Xcode launches, click File > New Project. Under the iPhone OS section on the left side of the resulting window, select "Application." Select "View-based Application" from the templates that show up on the right side, and then click the "Choose" button. You will then be prompted to specify a project save name -- this will also be the name of your resulting application, so choose your project name wisely.
You're project has now been created, and the Xcode window that is displayed will contain all of your code, resources, etc. There isn't much there now, but the application is fully functional at this point. You can click the "Build & Go" button in the toolbar, and the application will be compiled and launched in the iPhone Simulator. Again, this is a fully functional application, but it doesn't do anything useful at this point -- the usefulness of the app is up to your coding, but Apple supplies you with the base code and dependencies.