New... Creates a new blank sudoku for you to fill in.
Lock clues When you've typed your given numbers in, lock them as clues. Once they're locked, they can't be edited.
Unlock clues Just in case you make a mistake when putting them in, this enables you to edit them.
Set sudoku... Choose this if you want the program to set you a brand new sudoku. Choose between the various options.
Show progress report Shows how long you've taken so far, how many mistakes you've made & other useful facts.
Reveal Put a question mark in any squares you want help with, then click Reveal. It'll fill those square in for you.
Hint Click Hint, and the program will pick an empty square at random, and fill it in for you.
Show mistakes Any squares you've filled in wrongly are coloured red.
Start again Empties all the squares you've filled in, but leaves the locked clue squares.
Solve Solves the entire sudoku. It can do even the hardest 16x16 grids in an instant.
Email here for help.
Read up on the history of sudokus and solution strategies at Wikipedia.
Pick up some hints and hone your sudoku solving skills here.
A sudoku solver, written in Perl, that's just 3 lines of code long. (The Sudoku Bloke is 70k.) See it here.