I'll be up front here.
Spaces is a feature I rarely use. One reason is that I've got some excellent programs for web development like Coda that keep me from having to keep five windows in five different applications open all the time. Secondly, when I park my laptop at my desk for serious coding, etc, I always hook up a second monitor, giving me a lot more real estate for keeping windows open to monitor progress, etc. without having to shuffle and find them. I also learned to get by without it before they made a couple large improvements to it.
That said, it definitely has it's uses. To get the most out of it though, you need to be able to categorize or organize your computer usage in some meaningful way. If you can't break up your usage into two or three different areas, it may end up being more trouble than it's worth.
So here goes....
To get to Spaces, you can open up the System Preferences application which is in the dock by default, and select "Expose and Spaces," then click on the "Spaces" tab if needed to hilight it. If you removed it from the dock, you can also get to it from the Apple menu in the upper left corner of your menu bar. Lastly, if you have already enabled spaces and checked the "Show Spaces in menu bar" option, you'll get something similar to this:
The first option you see is to enable spaces. Check this. I also recommend you check the "Show Spaces" checkbox as well.
The black area underneath the checkboxes is where you set how many "spaces" are available. There always has to be at least one row and one column, and you cannot have partial rows and columns.
Underneath that is where you set application assignments. This is where "how do I want to organize my programs" becomes vitally important. Here is where you select which programs open in which space, for when it matters. For any program you add here, you have two choices: Either define which (one) space that program will exist in, or if it will exist in all of the spaces.
If you assign a program to exist in space 1 for example, then switching to that program, especially opening up a new window in it, will shift you over to the space that program is assigned to. If you assign it to all spaces, then the program follows you. Set Safari to be in all spaces, and switch to space 2. The existing Safari window will follow you to space 2.
The one major piece of inflexibility here is that it only allows you to be all or nothing. Either a program can be used for one type of work, or all of its windows follow you. Which is why Apple added the last checkbox. If it's checked, opening up a program like Pages in space 2 "anchors" it in space 2. Switching to that program while in another space brings you back to space 2 as if it had been specified in the list. If it's NOT checked, you lose the auto-switching, but now you can keep separate windows for Safari, Word, etc. in their own separate spaces, and they won't follow you around.
Let's say you might have a space you want to use for school work and research. You have another one you want to use for web programming or organizing family photos, and another space for web browsing or music or emailing or..... You can see the beginning of a problem. You may want to have Word, or Pages, or Safari open in two or more of these spaces without all of the windows following you.
So the solution is to uncheck the bottom checkbox, and NOT specify a space for any program that a) can have more than one window open (most of them), and b) you may use in more than one context. In short, programs like iPhoto which only ever have one window open you will usually specifically assign to one space. iTunes can have more than one window open, but is usually used single-window, so either assign it to one space, or have it "follow you" if you keep it minimized. Then open up all the Word, Safari, etc. windows where you need them based on the kind of work done in that space instead of based on what program you are using. Of course, now YOU have to remember what space 3 is for, etc.
As long as you keep track of what space is used for what purpose, you're golden.