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.
Here are a couple of pretty good articles on why and how to clay. http://www.bettercarcare.com/articles.php?articleId=14 http://www.properautocare.com/creatsmootpa.html My favorite kits would have to be Mothers Clay Bar Kit and Meguiars Quik Clay Kit.