How do I tell if my phone has Carrier IQ Software on it? What is known about the Carrier IQ Software and Android handsets?  I see a similar icon as shown on the Carrier IQ app next to an app called "Contact Data" and another called "Contact Sync". Does my phone come with Carrier IQ?
On your phone's home launcher, go to menu --> settings --> applications and look for anything that contains "Carrier IQ", "IQ", or possibly "com.carrieriq.iqagent"

If you are rooted, it appears that this app will check and see if it exists on your phone.  The paid license key will also let you remove it from your phone. This app was made by Trevor Eckhart, the person who discovered this "vulnerability."

If you are not rooted, this app will attempt to detect Carrier IQ on your phone. And here is another app, by Lookout, that will detect for Carrier IQ on your phone.

Also: if you are rooted and running a custom OS, such as CyanogenMod, you should have no worries about Carrier IQ. Carrier IQ is bundled by the manufacturer/carrier and shouldn't be included in a ROM such as CyanogenMod as long as it is built from the AOSP and is not a derivation of a manufactuer's ROM.