I have created a Phone Gap based application on iPhone. After the first run, I have dragged my www folder, containing index.html into the project,
What versions of Xcode and PhoneGap are you using?
If you're using the older Xcode 3 and are creating a new project using the PhoneGap template... it should automatically create a www folder for you, along with a generic index.html file. If you've dragged your folder and index file into the project, then you should have been overwriting the existing files.
If you're using Xcode 4, there's a known issue with getting a PhoneGap project set up. It would be helpful to know what tutorial/guide you are following (assuming you are using a guide).
In very random cases, changes you make to your files/folders directly (via Finder) might not be picked up immediately by Xcode. You could always try quitting out of Xcode and re-opening your project, to ensure Xcode is pulling the latest files.