I have not used a shield either. I have a half-made LOL-shield on my desk, but I haven't completed and played with it yet.
If you have an arduino uno, you should notice that the board has a similar same shape as the shield. There will either be connectors round the edge of the shield, or holes to solder them in. To connect it to your arduino, you simply slot the connectors into the connectors on your arduino. As this
picture shows, the shield sits on top of the arduino. You program the arduino to communicate with the shield (check out the examples from the first posts link).