The Find My iPhone app for the iPhone is not for finding your iPhone since if you are able to use the app on your iPhone you know where your iPhone is. The Find My App on your iPhone is for someone else to be able to find their iPhone. The app on someone else's iPhone is for you to be able to find your iPhone.
If you have a MobileMe account, have you created the account with the iPhone's Mail app and if so, do you have Find My iPhone turned on for the account settings?
If so, you can test locating your iPhone by logging in with your MobileMe account via webmail access using a browser on your computer, or with the Find My iPhone app on someone else's iPhone, iPod Touch, or iPad.