I have a confirmation number from Expedia, flying Finnair. How can I get an electronic ticket on my iPhone?
I can't speak to Finnair in particular, but how it typically goes is that you locate the booking reference in the confirmation you got from the travel agency. Usually it's 5 or 6 upper-case letters. Type that and your name into the "find your booking" functionality on the airline's website or app, and you should be able to see your trip, and usually also check in online when your trip draws near.
If you don't check in online, you'll use the booking reference to check in at the airport, either at a kiosk or a staffed desk. They will usually also be able to locate your booking by name, based on your ID (and sometimes won't even ask you for anything but your passport), but it can go smoother if you have the booking reference ready.