Why would a iPhone 4 show headphone volume?

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What kind of headphones can you use with iPhone?

Ive just bought some Sony DR-BT22iK bluetooth wireless headphones for the ipod, and they work brilliantly with the iphone. You get headphones, a dongle, and headphone charger

Where is the volume on the iPhone?

On the left hand side there is a long button. To make it louder you press the top of the button. To make the volume lower press the bottom of it.