Once you have opened Spoon you will see a window like the one shown here:
From this window you can create a new transformation (File/New/Transformation). Each transformation can do many things, we will not explain all the possibilities here. There is a Pentaho Community Wiki and there are quite a few book and tutorial videos on this stuff.
Transformations are stored in .ktr files and will need connections to a database to run. I have a local connection which I use to develop and test before I run any transformation using live connections to the CiviCRM database and the datawarehouse.