The Phoenix metropolitan area is more or less in the Sonoran Desert. During summer, as one might expect in a desert, it gets hot. How hot? At the time of writing - late afternoon in early June - it's 41°C (107°F) and it gets hotter from there. Visitors to Phoenix, once they've got past making the "Yeah, but it's a dry heat" joke stage, always ask how full time residents cope with the unending heat. Here's how.
The sun over Phoenix is very honest. It's so bright that you can't look anywhere near it, never mind directly at it. And its hot. Unlike the sun in other parts of the world, it doesn't hide behind clouds all that often so you'll be constantly aware of it. So if at all possible, avoid direct sunlight between 11am and 3pm when the sun is at its hottest. After that things start to cool off, but be aware that the ground will retain heat for a long time after the sun has actually set so you might see the temperature drop only a few degrees at first. Over summer 2005 there were several weeks where the night time temperature didn't drop much below 38°C.
Stay inside. Homes, offices, indoor public spaces (like malls) will generally have some kind of air conditioning. The downside to this is that walking outside is like stepping into an oven.
Home cooling solutions come in several sorts. There are window units, which work through refrigeration and are useful for cooling one room really well and the rest of the house rather less well. There are central air conditioning units, also using refrigeration, that blow cold air out of vents in each room. There are also evaporative coolers2 that use the process of water evaporation to add moisture to the household air, usually cooling things down by 20°C or so. These are a good solution, since evaporative coolers are easier on electricity consumption and don't use ozone depleting gases. However as the humidity rises they lose their effectiveness and are next to useless during the Phoenix monsoon season.
If you do need to go out, dress appropriately. Light, loose clothing is a good idea as is a hat of some sort. If you can find a hat with something that covers your neck, that's even better. You also want to consider some sunblock, at least SPF 15, since if the sun can't bake you or broil you it will attempt to fry you with ultraviolet.