This is the main STATA window.  In it you will see panes for STATA commands, STATA results, STATA variables, and a command pane. 

 

Stata commands are typed into the STATA command pane.  For instance, to load a dataset that is available from the internet type:

 

Use http://www.stata-press.com/data/r8/auto.dta

 

into the Stata command window. 

 

 

This will bring the variables from the auto.dta data set into Stata.   If successful, the results windows should include:

 

 

The variable window should list all of the variables that were input into STATA.  The results will look like this: