THe Clay Bar is just what it sounds like
A small bar of clay (like plasticene) for cleaning your paint. After washing the car, you use it to get rid of surface blemishes and sticky marks. It'll get rid of tar sports, bugs etc (and old polish?), all the crap that the shampoo won't touch. It makes your paint feel new again!
You hav to polish, wax, cuddle your paint after using it again tho, but the difference to the car is amazing!
Used it for the first time a few months back, and all I could do after I polished the car was stand there and gaze at it for hours! :I
For a simple guide,
-wash the car (preferabley with the two bucket method- one to wash, one to rinse the sponge / wash mit)
-Clay the car (remember to keep the clay lubricated -either with the supplied quick detailer or a solution of shampoo/ washing up liquid and water)
-Wax / polish with some of the products discussed around tese parts.
I use Meguiars NXT tech wax, then some Auto Glym Extra Gloss Protection, then some Megs Hot Wheels on the tyres, and some Megs trim detailer on the black plastic trim.
Don't forget you can use the clay bar on your windows too to leave them smooth as my heid