This document should explain you the basics about inclusion, association and parameters of a Z-Wave device. This should be a beginner page for everybody who want to use Z-Wave devices.
We would stongly advice you to have a Z-Wave-Stick attached to your system and use a Z-Wave-Remote Controller. Your first step is to learn your Z-Wave Remote Controller to the Z-Wave-Stick. After that you can start to learn your devices to the Z-Wave-Remote Controller. Only use the Remote Controller to learn new devices or remove devices. NEVER use the Z-Wave-Stick for this. The Stick should be always at the system - else you can run into problems with devices and their configuration.
Before you start to learn your first device with the Remote Controller you shoud read the manual of the device you want to use and look at the possible configuration parameters and group configuration. A good starting point is http://www.pepper1.net/zwavedb/.
Devices like switches and dimmers should work out of the box. More interest you should give to devices which have for example a power meter or devices with multiple sensors like a multilevel sensor. If you just "learn" a device to your Remote Controller you just have "connected a cable" - nothing else. Some devices are simple some need a configuration.
You simply can press the "Include" buttons on the Remote and the include button on the device you want to add. The details are in the docs of the Remote Controller and of the device. Now you you have connected your Controller with the Device. You now already should know if you need to configure your device. Please take care on battery powered devices - sine they fall to sleep and wake up somewhen - and then you can not tell the device something as long as it not wake up again. In the docs you should find some more details. Sometimes you just need to press the include button for 3 times to keep it awake for a few minutes. So mind that your device is not sleeping when you want to send a configuration!
In this example I am using a Aeon Labs Multilevel sensor.