Firstly connect your Kindle to your PC with the USB lead that was provided. You will get a list of files on the Kindle and it will show as an external drive on your PC.
Go into the Amazon.co.uk site and log in with the user name and password that was either set up by Kindle or which you set up. Find a book you want to buy (try getting one of the free books that Amazon offers first).
Click buy and you will get the option of where to download it (a drop down box comes up) and select "download to" (your name) Kindle. It should automatically send the book to the correct file on your Kindle.
If you are getting books from sites other than Amazon, you need to download it on your PC first. It should go into your downloads folder on the C drive of your PC. Once downloaded (and with the USB lead connected) drag the file across to the Kindle drive (probably Kindle drive E) but make sure it goes into the E folder named documents, not the main E drive.
Best of luck.