Application can be a little daunting, but if you take a gander at the video above we'll walk you through the steps. I find the trick is to not be shy about using the supplied spray so you can more easily adjust the screen protector and squeeze out those bubbles. It's also worth noting that for at least a day after you apply it and sometimes a few days, your iPhone 4 is going to look a little weird - but having used these products for many years I know that the bubbles and 'fog' goes away completely.
After the break, a few more thoughts, a small gallery of photos, and a video showing how to apply the protective skin.