Check out How to Brew online (do a Google search). John Palmer, the author, was kind enough to post the entire text. It has lots of good information on getting started. That recipe is a matter of steeping grains, then "sparging" them. This is simply taking the crushed grains, putting them in a grain bag and letting them soak in the water for 30 minutes then rinsing them with more hot water (don't squeeze). I typically do this by putting the bagged grain in the water cold and pulling them out when the water is just below boil. I hold the bag over the pot and let all the juices run off into the pot, then pour hot water (~170F), heated from my microwave, over the grain bag to rinse even more of the sugars off the grain and into the pot. This is the beginning of your liquid gold!
Like the_bird said, have the grains crushed at the home brew shop unless you want to buy a mill. Of course, you can get crazy and mortar and pestle it...