OK, will try to keep this brief but informative! There are 3 things you need:
1. A provider to get the stuff from
2. A way to find the specific stuff you want
3. Software to download the stuff
Providers
There are loads of providers, and most do a similar job. The main things to look for are security, retention and download limits. For security I'd say always look for someone that offers an SSL connection, as this means people can't track what you download. Retention is the amount of time they keep 'stuff' for, the big boys are now offering over 900 days. This means you have 900 days from when someone puts the stuff online to grab it, unlike torrents where things depend on their popularity. The download limit is obvious, some only let you get so many GBs a month but charge less for it. Depends on how much you plan on grabbing.
To be honest I'd look at using a free one though to test it all out, or some providers offer free trials. If you get your broadband through Virgin then they have a completely free server, but its not encrypted and they remove pirated stuff within a few weeks.
Search sites
There are loads of these, some free and some paid for. Everybody has their favourites, I personally tend to stick to
nzbmatrix, but I'm sure others will offer their own. You use these sites to find something you want, and then download the relevant nzb file. This is just like a torrent, it tells your software where to look for the files you want.
Software
This is where it all ties together, the software looks at the nzb file to see what is needed, then uses your provider to get it. Therefore this is the bit that requires setting up properly to make it all work. I'll use
SABNZB as my example, as its what I use myself. For anything I miss out, or don't cover very well, they have a
quick setup guide.
Download the software from their
home page, then run it. It will install and ask you a few options, which will depend on how you wish to use it. For most people I'd say yes to associating with nzb files, yes to the desktop icon and no to the start when windows does. The reason for this is that you'll probably only want to be downloading when you're not doing anything else, as it can max out your connection. You'll then need to choose language, theme (I use plush), if you want to be able to access it from other computers (more secure not to, but way more useful if you can. This can let you setup downloads from your phone etc. which I'll cover another time).
Now you need to setup the server, which is the provider you went with in step 1. You will need the server, port number and login details if required - virgin doesn't seem to need one but most do. For an example virgins settings are:
server: news.virginmedia.com
port: 119
There is a 'test server' button at the bottom which will tell you if it works. If it does then you're pretty much done. The SABNZB software will restart IIRC, but once its back on you need to go to the config menu at the top and go to folders. This sets up where stuff goes as you download, I always make a main folder called 'Downloads' wherever I plan on dumping the stuff, then make a 'Complete' and 'Incomplete' folder within it. Set the temporary download folder to Incomplete, and the completed folder to Completed.
That 'should' be it! To test it download an nzb file from somewhere and it should go straight to SABNZB. I'm off out now but will update this later with a few more search sites and anything I've missed. Hope this is of help to some.