The newest Jailbreak, Absinthe 2.0.2 is available for iOS 5.1.1. You need to plug your device in for that Jailbreak. Besides that, it's a very smooth Jailbreak. Are you on the latest iOS? Which iPhone are you using?
Yes, it's untethered. But to Jailbreak you must plug your iPhone into your computer. After that, you do not have to plug it in to your computer unless you have to restore through iTunes. Untethered just means you don't have to reboot through your computer every time you reboot your iPhone.
JailbreakMe.com was the website I do believe. I wish we still had that available. Unfortunately we don't. But, Absinthe 2.0.2 is very easy. Download to desktop, plug iPhone in, open Absinthe and make sure it reads and sees it, then press Jailbreak and don't touch your iPhone until it says it's completed.