I was once like you!
The onboard memory isn't usable. You need a memory card, and they are quite cheap so buy the biggest you can (1gig about 60 euros/40 quid!)
Then you need to either get a card reader or just plug it into the usb socket.
Then you need to find Guy Fawlkes walkthrough. But basically you put the files on the mem card, and then read the readmes. It isn't hard, and worth it.