The E-TTL (computer interface between your flash, camera, and lens) only works with the camera in full auto (green zone) and Program (P). You should see it work alot more in sync with your camera in this mode. You will want to set your flash to TTL, not M.
Flash exposure comensation will make the flash fire brighter or darker depending on if you go with a + or a -.
High speed sync will override your cameras maximum flash sync of 1/200th of a second. Your flash will fire faster than the shutter can operate in most cases. This is good for stopping VERY fast things. In fact I dont know why they even include it. The drawback is that it also decreases the amount of flash since it is so quick. (The last part I could be wrong on).
A trail in Second curtain sync is good for when you want to show movement. It will flash when you are done with a longer exposure (say 2 seconds or so). If you fired your flash at the beginning of that shot you would have a backwords light trail. Imagine a car streaking by at night and you took a shot (2 seconds because its dark). If you fired the flash at first curtain you would show a car (stopped because of the flash) and the tail lights would streak through the car unnaturally. Now if you had fired the flash second curtain you would record the tail lights streaking up to a moving car, but it would look like you had a car with tail lights streaking out from behind. Try it, the subject wouldnt even need to be moving that fast.
The zoom option is more for manual control of how far you are trying to send the light. Your flash can throw the light 100 feet.
The wide panel is located just above the flashes window (where the light comes out), it is tucked out of the way right now. Pull it out. Its hard to explain. Its just a difuser for the center of the shot so that the sides are just as exposed as the center. You would only need this with your kit lens when its zoomed furthest back (the 18-55 kit lens).
Your flash has the ability to be a slave to a 550ex or 580ex or a ST-E2. You dont have these, I presume, and they are kinda spendy in my opinion. Basically you could set your flash someplace and a master could fire it remotely (line of sight, its infrared).
To set a decent speed in Av mode, go into your custom functions (the fifth menu) and go to custom function number 3. Select option "1:1/200sec. (fixed)". This will automatically set the speed to 1/200th of a second when in Av mode. Depending on the amount of available light, the ISO, and the aperture you choose this may be over or under exposed.
Hope this helps.