iPhone: Make a Conference Call
The iPhone allows you to create a conference call with the ability to talk with up to five different callers.
To make a conference call, perform the following steps:
1. Make your first call.
2. Tap Add Call and call another line. The first call is put on hold while you are doing this. If you want, you can talk on the second line privately before merging the calls.
3. Tap Merge Calls to bring the current line into the conference with the other caller(s).
Perform steps 2 and 3 to add more calls to the conference.
If you have an incoming call that you would like to merge into the conference, tap Hold Call + Answer, then tap Merge Calls.
If you’re not able to use this functionality, it may need to be enabled by your wireless provider. Give them a call and have them enable it for you.
Source: iPhone Users Guide