The Apple Blog recently posted a simple SDK tutorial for the iPhone that walks you through the steps for creating a little RSS reader. It's pretty cool in that it's one step above a Hello World app - it performs a real world function, but doesn't get too bogged down in features and details that would detract from its usefulness as a beginner howto.
When you're done with the howto, you'll know how to create an Objective-C iPhone project in Xcode, use the NSXMLParser class, and properly allocate and deallocate memory at runtime.
iPhone SDK Tutorial: Build a Simple RSS reader
Official iPhone SDK
http://www.hackszine.com/blog/archive/2008/08/iphone_sdk_tutorial_simple_rss.html