Just spray the detailer that comes with it so that the surface is well lubricated. Then slide the clay up and down, overlapping each stroke by about 50%. Then just wipe that area down until it's dry, and do the next section. Do it in small sections like when you wax.
After you use a clay bar, you will want to do 2 things. 1. Apply a sealer/glaze. 2. Apply a coat of wax.
The clay bar removes everything. Not only contaminants, but the wax you had on there, so your paint will be naked if you don't do those 2 steps afterwards.