Landscape setting on iPhone 4

Is this with respect to a specific application? Most Apple application have landscape support, but some do not (like the Weather app).

Am I just supposed to turn the device round to get it viewed in landscape?

With a webpage, yes, which is or should be automatic and is the same with any app that supports landscape view.

I find that sometimes, once you've turned the phone, you need to tip it towards you slightly to get the image to rotate.

Also, check that the Portrait Orientation Lock hasn't been activated. Double click the Home button to bring up the multi-tasking bar and flick the icons right to left to bring up the iPod controls. The icon on the far left is the screen orientation lock - tap for on/off then confirm with a press of the Home button.

You're welcome.
I had the same issue when I was using an iPhone for the first time in a store prior to actually buying one, until the sales assistant showed me what to do.