If you have not saved your SHSH blobs (basically, it's the actual activation signature for the iOS version provided by Apple that marks the version of iOS "active" and valid), you can't. Apple uses a signing process which is Apple's way of authorizing your device and activating it to work. Technically, it checks to see if it's a valid installation. Typically, after Apple updates the iOS version, they stop "signing" the older versions within a day or two. Once they stop, you cannot go back without having already been there and having saved your SHSH blobs (ofter just called "blobs"), which are the actual activation signature for the iOS version.
The only way around that signing process is to have had that earlier version installed on your device and then to have gone through the process of saving the SHSH blobs (using a program like TinyUmbrella).
If you don't have the blobs saved from an earlier install, you cannot load/run anything but the current iOS versions. They will load fine, but the activation process that requires accessing the Apple servers will fail and you will be left with the functional equivalent of an iPod.
There are rumors that Apple is looking for (or already has) a way to stop this process too. The game of "cat and mouse" between the jailbreak community and Apple... It's been rumored to be effective with the production release of iOS 5, but so far, I've not seen anything more substantial on the subject.