Not supported by Apple, they don't want you DIY'ing your phone. Doing so will void all warranty & support. If you want to proceed, google for instructions.
Those are generic instructions for other GSM phones. Most GSM phones have the IMEI# printed on a label under the battery, but not the iPhone. The iPhone battery is not user-serviceable.
Graham's instructions are correct. The IMEI# will be on the box the phone came in and in Settings->General->About.
Thanks for your answer. I'm trying to activate my phone and the ATT website says to remove the back cover and battery to get to the IMEI#.
You are reading the wrong instructions. You cannot remove the back cover of the iPhone and it does not have a removable battery. You activate an iPhone at home via iTunes or at an AT&T or Apple store.