I'll just say READ THE ******* MANUAL. They don't hire people to write those things for nothing.
Now both the camera manual may not be very detailed about RAW, but the software manual should be. If there was no paper manual, check on the software install cd.
Now that I'm done venting my frustration at your apparent unwillingness to make even the slightest effort to figure it out, I'm now going to try and give a helpful answer.
So RAW, for nikon cameras it's actually a .NEF file (which isa nikon propreitary file type), is a file type which contains raw data from the sensor. Ok, not really. The sensor data is processed to make an image. In other file types it's the compressed and all the useless data is thrown out, the camera collects more data than you strictly speaking need for a good photo.
In RAW, the compression and dropping of data doesn't happen. You just have a tiny little bit of processing done and all the data about what adjustments the camera software may have made (for instancewhite balance) are saved in one big file. For that reason RAW files are massive compared to jpegs.
The point is RAW files allow you to do all the adjustments that the camera would normally do yourself on your computer. That way you can see much better what you're getting. For instance if a jpeg is overexposed there's not much you can do. With a RAW file you still have alot more infor even in the underexposed areas, so you can adjust the exposure much better (up to a point).
The problem with RAWs is they pretty much only work with the software your camera came with and with photoshop and a few other image editors. Well, that and their size. So you can't use RAWs on the internet, the files need to converted to jpeg/jpg or tiff or gif or whatever before they can be used on the internet and on most programs.
I'm not familiar with Nikon's ViewNX (which I gather is what came with your camera) but the usual process in most RAW converters is you click convert, the get a screen where you can make exposure, white balance and a bunch of other adjustments, and perhaps also choose what file type they should be saved as and where the files should be saved (this may also be in a new window). Once you've made the adjustments you click convert/confirm/"something that tells the software to start working" and then you'll find the converted files in whatever location you specified.
For a proper explanation about how exactly your software works you'll need to read the manual.