You need to call your network provider and get this enabled on your account as the first step (your network provider must support this before it'll work on your phone).
Once enabled, you make a call as normal - with the caller on the phone, goto the menu and select the option to make a new call. With the new call made, press the left soft key (the left one under the screen) and an option should appear on the list which says "enable conference" or something similar.
Regards,
Edward