All you have to do is double click the home button, flick the bottom panel twice so that you move the screen left and you should see any available devices. Of course you will need software from the internet but there is plenty of freeware that will do this! Also, you can change your volume on your phone there!
Windows:
Shairport4w: http://sourceforge.net/projects/shairport4w/
AirPlay for Windows Media Center: http://thomaspleasance.wordpress.com/2011/05/23/airplay-for-windows-media-center-beta-1/ (This program requires Bonjour which comes with iTunes)
Mac:
Its preinstalled
