There's nothing to set or setup for it on the iPhone. Just got into an app that supports the feature - e.g. Mail, Safari, Photos - and tap the standard Share button. That will show you Print as one of the options.
The hard part is having a printer that is supported by AirPlay - the list at the moment is very short, featuring just a handful of HP printers. You can find the list here:
These all require installation on a computer and the computer must be turned on for Air Printing to work (so it can route through it). TruPrint, available in Cydia, enables AirPrint on the iPhone without being dependent on a computer.