Use the top bar to change the puzzle size by entering a number between 3 and 9 and pressing "Submit". Checking "Show answers" reveals the correct answers for all squares on the puzzle. If the "Highlight correct guesses" box is checked, any numbers you have entered that are correct are colored in.
Fill in each square with a digit from 1 to x, where x is the size of the puzzle. Each row contains the numbers 1 through x, as does each column. A single row or column will never contain the number twice.
The heavily outlined groups are called "cages". Each cage has either a number or a target (ie. +7 or x12). A cage with just a number means that number is what should be entered. A cage with a target means that the numbers in that cage should equal the target number shown when the target mathmatical operation is applied to all the cage's numbers.
For example, if a cage has the target "x12", this means the product of the numbers in the cage will equal 12.
The WikiPedia article has more information.