Where is AirPlay on my iPhone?
iOS 4.2 adds limited AirPlay support to the iPhone 4 and iPhone 3GS. First of all, AirPlay is not supported on the iPhone 3G. Secondly, the AirPlay icon (shown below) will only appear within specific apps and on the multitasking dock if an AirPlay-enabled device is detected on your Wi-Fi network.
If you're using first-generation Apple TV, this device does not support AirPlay. All of your AirPlay-compatible devices must be updated (if possible), turned on, named and properly configured on your network for the iPhone to detect them. When this is done, the AirPlay icon will automatically appear in apps and on the multitasking dock. When selected, AirPlay will ask which device to connect to and start streaming content.