You'll probably want to start with this xmh tour first. Then, if you're curious, open an xterm window and try the Tour Through MH. You can use both xmh and MH, though running both at the same moment can get confusing if you aren't careful.
Before you start the tour, be sure that you've done the steps in the Chapter Setting Up. The online xmh manual page comes with the manual pages for other standard X clients.
Ask someone to send you two or three short mail messages. The messages don't have to be sent with xmh. Almost any mail agent will work, although it should be able to put a Subject: on the message. You'll use these as test messages later in the tour. They don't have to make sense -- any old garbage will do.
By now, you should have a .mh_profile file in your home directory -- whether MH created it or the file was already there. As you saw in the Section MH Profile, this file customizes your MH setup. Make a mental note of the words at the start of each entry (words like scan: and repl:). As you do the tour, if your commands seem to work differently than the book shows, remember that the settings in your MH profile may have changed how MH works by default. Because xmh runs MH commands for you, changes in your MH profile can change the way that xmh works.
X setup files like .xsession and .Xdefaults, as well as the version of X you're running, can also make xmh look and/or work differently than the examples here. If you have questions, ask a local X-pert or check a reference book.