There's a couple of ways to get the file playing on the iPhone, but the first problem is that you need to decide how to serve the file from your server.
One great way is to share the file out via HTTP using a Web Server. If the server is Windows, look into 'IIS'. If it's a Mac or Linux, Apache is your friend.
Once you've got the serving going, here are the options on the iPhone:
1) Use iPhone Safari to navigate to http://your-server/your-folder/the-file.ext. If the serving is correct, it'll open the mediaplayer and stream it.
2) Write an iPhone application that uses the AVMediaPlayer framework to play the file. Non-trivial, but there are plenty of samples.