A clay bar removes all the carbon buildup and other contaminates that give your paint that gritty feeling, even after washing. To use it, basically use a detailing spray, and just keep the area lubricated, and try to keep a fresher part of the clay as your flat working surface, and lightly rub it across a lubricated part of the body, 1 section at a time.
More detailed instructions can be found on the clay bars box.