I've been using WP_query fairly extensively the last while and while I found the Codex explanation a little confusing at first, it does actually make sense.
Here's an example of a usage I've made of WP_query
// Assign your "new" WP_query to a variable
$newReleases = new WP_query();
// Define a query that this variable is going to act on your new WP_query - in this case I'm asking for it to show 5 posts ordered by day in any of categories 1, 2, or 3.
$newReleases->query(array('showposts' => 5, 'orderby' => "date", 'category__in' => array(1,2,3)));
// That's our new query set up, now we can act on this with a (nearly) standard WP loop.
// Instantiate the loop but using our predefined WP_query
<?php while ($newReleases->have_posts()) : $newReleases->the_post(); ?>
// Depending on your needs do some stuff as per normal loop :)
<h3 class="post-title"><a href="<?php the_permalink() ?>" rel="bookmark" title="Link to <?php the_title(); ?>"><?php the_title(); ?></a></h3>
<?php the_excerpt(); ?>
<?php endwhile; ?>
Hope that makes sense?