If you're having trouble, here are the steps. First, the service has to be turned on. You do that in your iPhone settings. Under email accounts, select your MobileMe info. You'll get to a page that has an on/off switch for Find my iPhone. Turn it on.
After that, you must be in your MobileMe web page. Sign in. At first glance, you won't see anything. You have to click on the accounts icon, and you should see a Find my iPhone icon at the bottom of the account settings. You can then decide to find your iPhone on a map, send it a message, or remote wipe it. I found the map pretty accurate, as I have a metal roof on the house that plays hell with GPS and cell signals. I sent a test message. That worked fine, and I received an email confirmation that the message was sent to the phone. I didn't try the remote wipe. I've spent enough time today downloading and uploading iPhone software and data.
Note: Apple MobileMe servers are a bit spotty today. It took me a couple of tries to get into my account options.
Find my iPhone is a powerful new feature. I hope I never need to use it.
Here's what the icon looks like on the MobileMe page: