In reply to CGlennie:
Ok, the main bits of vocab you need to know are the following:
Shoe
Cleat
Pedal
For clip-in pedals (or "clipless", as they are confusingly known), you need special shoes. The reason you need special shoes is because you you need a shoe on which you can mount a cleat. Essentially, the shoe has a stiff sole, with a couple of threaded holes, and the cleat has holes in it which match up with these, so you can screw the cleat on to the shoe.
So what is the cleat? Well, that is normally a plastic or metal shaped plate, which screws on the bottom of the shoes. The point is, this cleat matches with the pedal, and is the bit which clips into the pedal itself. Normally, what you'll do is hook/slide the front of the cleat onto the pedal, press down, and it goes "click". Tht means you're clicked in. To get out, all you have to do is twist your foot sideways, and the pedal releases the cleat (which is screwed on to your shoe).
Any questions?
Tim