What should I do when my app recieves a memory warning?
It really depends on your app.
If your app downloads and caches lots of contents from Internet for example, you should purge as much as possible when receiving a warning.
If your app is an OpenGL game, you might have a texture/sound/data manager which references some unused data, which you then want to free. Cocos2D manages this kind of things.
If your app isn't memory intensive, you have a memory leak somewhere, and you should 1) read the Memory Management Programming Guide by Apple 2) use Instruments/Leaks.