New User...  please help

I just bought the iphone 3G and am still working out the logistics. I've read a lot of posts on here where people talk about EDGE but still haven't managed to completely narrow down what it is. Can you fill me in? Also, I know that the phone should be able to connect through 3G but mine seems to go in and out and often times tells me I don't have a WiFi connection. Is there a setting I'm supposed to have to allow me to connect to the internet at all times? I'm sure the answer is somewhere else, but these message boards seem to be so useful. Thanks!

This is where it starts to get a bit trickier for WiFi.
Typically if you're getting a "Could not Connect" message, but you're still using WiFi as indicated on your iPhone, it sometimes means you've connected to a local router (like a Coffee Shop's WiFi etc), but are not connecting to the Internet because you've not been able to access that router's DNS.
If there's no WiFi, you'll automatically be switched to 3G, then EDGE and so on.
If there IS WiFi, you may also be prompted to join networks (if you have that setting turned on), but may or may not be able to connect to them based upon security.
If you find you're in a place where they claim to have free WiFi, a password may be required, or in your case if you see WiFi is active on your phone, but you're getting an Internet connection error, you can try using Open DNS.
http://opendns.org
You can manually change your DNS settings on someone's network to an open DNS.

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