wow... "now that I have my gun... what do I do with it?"
personally you don't seem to be very educated in the matter, and therefore I disagree with you even deciding to own a gun before you even know anything about it.
But a shotgun in your most versatile firearm, as far as hunting goes at least. You can hunt anything and everything from small game (field birds, rabbits etc.) to waterfowl to deer.
You can buy differnt shells that reflect what you are hunting. For instance, using a 12 gauge for small game I would normally use a 2 3/4 inch shell with #8 shot. But for geese I would use a 3 1/2 inch magnum (providing you gun can hold this shell) with BBB shot. For deer you would use a slug, or pumpkin ball.
Shot sizes from smallest to biggest are as follows:
#10, #8, #6, #4, #2, BB, BBB, T, then you start getting up into buckshot.
Some guns also have modifiable "chokes" you can use to change the spread pattern of the shot.
"loose" - very wide choke
"modified" - wide choke
"full" - tighter pattern
"extra full" - very tight shot pattern (normally used for turkey)
Take a hunter's instructional safety course. And learn what the hell you are doing so you're not another member of idiot america that has a gun because "it's his right to own one", and needs to find something to do with it.