Hi Notlob
I assume it is the SainSmart Uno you have, and also the SainSmart Sensor Shield. Is that right? In future, it helps if you can post links to the hardware you are asking about (unless it is a standard Arduino board, of course).
You should take a look at the sample programs in the Arduino IDE - there are ones for servos and stepper motors. Also look in the Examples and Playground sections of this website. They will explain how to connect up servos and steppers and run basic programs to try them out. Then, to do more, you will need to learn about writing your own program / modifying the examples to do what you want.
So that leaves your point about all the connectors on the Sensor Shield 
Does your one look like this?
http://www.sainsmart.com/zen/documents/20-011-904/Pinout.png
What they have is the usual two rows of single header sockets as on the Uno (marked "Arduino Ports" in the photo). But they have also duplicated most of the pins with +5V and 0V pins next to the signal pin (for example, marked "Digital IO Port D0-D13" in the photo). This just makes it easier to connect servos, for example, which need power as well as signal connections.
So, if an example program says connect a servo to 0V, +5V and digital pin 9, you could connect the three wires to the three pins marked "GVS" in the column marked "9" in the "Digital IO" group.
Hope that helps
Ray