Blender has to be one of the hardest packages to use. I don't know why they defy convention and don't let you select objects by CLICKING ON THEM. Although recent versions fix this somewhat by defaulting to object-mode and letting you right click to select. *sigh*.
Using blender for physics is somewhat convenient due to how closely blender follows the physics&COLLADA conventions.
Beginer notes: hold MMB to rotate view, scroll to zoom, shift MMB to pan. on a selected object, "s" will scale, "r" will rotate. ALT-r will clear rotation. translate things by clicking on the relevant axis.
(You can press 'N' to get the transform properties and type in locations. handy!)
To create a physical object, select it (object mode, right click ;)) , go to the logic pannel (F4) make it an dynamic actor, and rigid body.
To create the correct physics shape, select 'Bounds' and change to (eg: box/sphere/convex)
Press 'p' to preview. (ESC to exit the preview)
To add a material, swap to shading mode (F5)
In link to object, delete anything you might see (eg: MA.Material.001) and now you can create your own materials. In the material tab, press the DYN button so you can set friction and restitution.
(you may wish to create another object before trying links, eg: add->mesh->sphere)
To add a physics link or rigid body constraint switch to object mode (F7).
To create a link press the add constraint button and choose Rigid Body Constraint, then choose type (eg: Ball) and which object you are connecting to (eg: "toObject:Cube"). P to preview your swinging cube!
Some tutorial links:
getting started with blender physics & COLLADA.
some info on controllers and physics materials
basics of controllers
global/local forces and more on controllers