Connect your iPhone to the Internet via a Wi-Fi connection or through your cellular provider/data plan.
Login your account in iTunes via your iPhone. Create an account if you have not already done so. You will need to enter your credit card information as well, even if the apps you download are free.
Tap on the "Apps" icon on your iPhone menu screen then click on "Search."
Type "Learn language" in the search box. For example if you want to learn Spanish, type "Learn Spanish" then wait for the results. Read every detail about the app. Look for an app that will help you read, pronounce and speak the language you choose. Go for the trial version first. If you like the app, download the full version after the trial period or uninstall the app before the trial period so your credit card does not get charged.
Download and install the application to your iPhone. Tap on the application to launch it.
Start learning the language on the iPhone. Access the phrase book, listen to examples and play the games to help you learn the language. Do this every day and keep practicing.