Plug your ¼ inch guitar lead into the pedal, then plug another lead from the pedal into the amp. If you want to use more than one pedal, use shorter patch cables to link them all up. Using pedals through long cable runs weakens the signal. Keeping your cable chain short ensures a constant signal flow from your guitar to amp.
There are so many variables in organising what we call a signal chain; the order of pedals in between the guitar and amp. Every change has an effect on the sound. You'll need to consider everything from powering your pedals, to the order of pedals in the chain, and to the sound they make when they’re switched on.
Power supplies are a major factor. You need to provide pedals with power from the mains. A good power supply with isolated outputs sends electricity evenly to multiple pedals and protects them from sudden power surges and shortages.
Daisy chaining is an alternate method to use if you only have a regular mains plug. It only requires a cheap daisy chain cable - a quick solution. However, it’s a lot less reliable and reduces the performance of the pedals. Many pedals also run on batteries and can yield some great results when used in fuzz pedals. However, this is an expensive route to follow as pedals burn through them very quickly.
From here, turn your pedal on, have a play with the dials and learn as you go. The best way to get to grips with a new pedal is by putting it through its paces.