That's some pretty expensive software - do you mean to say they saved a few pennies and didn't include a manual? X-D
You should be able to find decent support on their website (
http://www.avid.com/products/xpresspro/ ), so I'll assume your question is regarding the hardware angle of video capture.
If you have a digital camcorder, you'll need a firewire card & cable.
If you'r using analog (Hi-8, VHS, etc.) you'll need to buy a capture card. But its a bit more involved than that - you need to make sure the capture card is one that is supported by your software.
A warning for you Studio 9 people - I haven't found any other software that can use the Pinnacle DC-10 capture card.