Don't know much about the radio, but I would be very surprised if you can't find a manual for it online.
As for tips...
A good wire antenna will sort you out. If it's a portable with a regular radio style telescoping antenna, get some speaker wire or similar, wrap the bare wire around the antenna, and stretch it across your living room or wherever. Works wonders.
Between noon and 3pm local time will be the worst for reception. During the day you want to look around the 16-19 metre band. As dusk comes, check out around the 25 metre band. At night, 31 and 49 metre is the place to be.
Best reception will obviously be when stations are targetted at you. If you're in the US, you'll find a ton of crappy religious stations, but you can pull in some good stuff from overseas. Radio Taiwan is a good one.
As for sites:http://www.dxing.info/http://www.dxing.com/
(Note, different sites, similar URL)http://www.hard-core-dx.com/
I have a LOAD more, but those are good starting places. You may also want to check Yahoo Groups, as there's a fair few groups for shortwave.
Drop me a PM if you have any other questions. I'm by no means an expert, but I do love shortwave. (Sadly can't use it much anymore due to the horrendous interference by apartment building generates.)