On the iPhone 4 the sim card slot is at the top of the phone on the left hand side, just as described by the other poster. However, it depends on what model of phone you have as to whether it will have a sim card tray. You may have purchased a CDMA phone by mistake and if you bought a CDMA iPhone 4, then it will not have a sim card because it can only be used on the CDMA network that it was intended for, so either Verizon or Sprint in the US. It was not until the iPhone 4s that Verizon put sim card slots that are unlocked out of the box on their phones for international use whilst travelling with local sim cards.
If you do have an iPhone 4 that is CDMA that does not have a sim card slot, then you won't be able to use it and you should perhaps consider selling it and buying a phone that you can use.