The iPhone (and many other phones) come blocked because the service provider wants to encourage you to always stay with their company.
If the phone was not blocked, it would be easy for you to switch to a different service provider and still keep your phone.
Because the phone is blocked, if you want to change providers you would have to buy a new phone, and may people will not want to do that.
Jailbreaking is a way to "unlock" the software so that you can use your phone how you want to, instead of how the provider wants you to use it.
Do a search on the internet under "jailbreak" to find out what it means and how to do it.