i buy iPhone 4 but he dont work

If your phone is locked to a provider, it will not work with another SIM card. And unlocking is not yet supported with carriers from the USA: Locating iPhone wireless carriers

Where in the US did you purchase your iPhone. It is most likely locked to a carrier, therefore you will need to contact the carrier to see if they offer authorised unlocking.

You'll have to sell it again and buy an officially unlocked phone.

Your iPhone is useless to you in Russia. It was purchased second hand you have had no previous service or contract with an US carrier and therefore none will unlock the iPhone for you. I would suggest you sell the iPhone and purchase one in your country that works on a supported carrier.

You're welcome, sorry that those people, that sold you the phone, did not tell you about the fact, that iPhones from the USA can't be unlocked.