Well, the first thing you do is probably download a few games. But once you fire one of those games up, you almost certainly go into the graphics settings and begin tweaking.
GameSpot's Reality Check has run the first of two videos helpfully explaining what all those various settings—MLAA, FXAA, Vsync, Tessellation—actually mean for your games, using visual aids to help explain each concept. I'm looking forward to part 2.
Also worth checking out: This Lifehacker article that breaks down a whole bunch more PC graphics stuff.