There is alot of material on the CUI and how to use it if you search on google for "Autocad + CUI". For specific information the Autocad help files really are helpful for figuring out what you want to accomplish.
Alot of people don't like the CUI, but if you give it a chance it's not so bad for basic things unless you use multiple/partial CUI's then I suppose it can get confusing. My only major complaint about the CUI is that it's slow, but I don't work in it all the time either so there may be other valid complaints, but it works for me.
When working with it make sure you click all of the arrows to expand it all the way so you see the Command List/Properties/and Customizations Section. The biggest confusion I've seen most people have is by not expanding all the sections you can't figure out what you are doing.
The command listing (lower left) contains all of the Autocad commands and is where create new commands/macros. To properties window (right side) allows you to modify aspects of the commands you select in the command list. And the Customization sections (upper left) is where you create new tool bars/add commands macros to tool bar/etc.
For instance say you want to add the circle command to the Dimension toolbar (not that you would want to but just an example). First expand the Tool bars section in the Upper Right and find the Dimension Toolbar. Then find the circle command in the Command List (Lower Left Portion). Highlight the circle command and drag it up to the dimension toolbar in the Upper Left section that you previously selected.
It sounds more complicated than it is.
Some highlights of the CUI that I often go to...
Shortcut Menus>Default Menu <- you can change the default right click commands that come up
Keyboard Shortcuts>Shortcut Keys <- you can reassign F1 here to something like cancel so help isn't popping up by accident
Double Click Actions>Line <-for instance changing line's to pline's by double clicking.
Here is a link to some videos for 2006.. the same still mostly applies
http://autodesk.blogs.com/between_the_lines/2005/05/autocad_2006_tu.html