Try this link:

wrotniak.net: Customizing Your Olympus E-510 (or E-410) camera

There is a lot of information here but it goes through just about every setting on the camera in detail. Definitely worth the time to go through it. Also read through the manual carefully with camera in hand. The camera has a lot of functionality but it takes time to learn. Trust me, it's worth the effort.

From a very basic point of view, try setting the camera to Aperture priority to start. This will automatically adjust the aperture based on the shutter speed you choose. Use a fast shutter speed to capture fast action and/or in high light. Slow the shutter speed down to allow more light or to capture motion blurring. Play around with that for a hundred shots or so and you'll start to get a feel for the camera.