The first thing you need to do is read the uVision Getting Started Guide, and work through the example projects in it.
This will give you a proper introduction to the tools, how they work, and how to use them - rather than just blindly jumping-in at the deep end.

The Getting Started Guide is in the 'Books' tab of the uVision Project Window.
If you have the Keil CD, there are also some introductory videos on it.

As you are using the free evaluation version, be sure to carefully read the limitations:
http://www.keil.com/demo/limits.htm