Read the details on the web site, but their video speaks for itself.
To get the app, go to the music category of the iTunes App store (in iTunes or on your iPhone/Touch). Find the Last.fm app and download it (for free).
Looking forward to be able to get the iPhone here in Luxembourg…! Do make sure that you are on a wireless network before you listen to last.fm… At least in Europe… as you would get some hefty data traffic… and THAT is expensive around here