Play a C chord on your guitar.
Clamp the capo on the desired fret, making sure it is straight and touches all the strings. For instance, if you want to play a C but hear a C#, attach the capo between the first and second fret as close to the second fret as possible without being on top of it.
Play a C chord with the capo still clamped. You should hear a C# chord.
Experiment with playing different chords and clamping the capo to different frets. Starting from the top of the guitar, each fret raises the key half a step. For instance, when you played a C chord with the capo on the first fret, the chord sounds like C#. When you play a C chord with the capo on the second fret, the chord sounds like D, and so on.