That third-party application you downloaded would be great if only it just let you change that one little setting that's driving you nuts, but you can't find a preferences option anywhere in the program.

Apple's developer documentation asks programmers, to put their applications' settings in the iPhone's Settings app. Not all developers do Apple's bidding, but it's a good idea to check the Settings app before complaining to the program's creator that something's totally impossible.

Simply click on the Settings app and scroll down to the bottom of the page. Any 3rd party apps that have their settings here will show a tiny app icon on a line with an arrow to the right. Click the line and the applications setting options will show.