Depth if field is a bit of camera jargon that crops up all the time. Essentially it means the distance from the lens that is in focus. You control this using the aperture - a wide aperture e.g. f2.8 gives a very narrow DOF (I prefer to use "shallow") and a small aperture e.g. f20 gives a wide DOF (again I think "deep" makes more sense). It's confusing but the smaller the "f-number" the larger the aperture i.e. the hole through which the light passes into the lens.
This is much easier to demonstrate with some shots I've taken. Here for example I've used f2.8 and you can see that only the first dice is in focus.
This shot has been taken at f8.0 and already you can see that more of the dice are now in focus (please no comments about my incorrect use of die and dice!!)
This final shot has been taken with an aperture of f20 (or f22 - I can't remember) and it's pretty obvious that much more of the shot has come into focus.
Once you stop using auto mode, aperture priority is probably the next mode to get to know on your camera. There are a few basics to remember though. Larger f-numbers let in less light and your camera will normally compensate by decreasing the shutter speed. Unless the available light is bright your shutter speed will be very low and the camera shake will be noticeable.
Conversely, too large an aperture may cause abberations and fringing of ojects so your maximum aperture should normally be avoided in all but top end lenses. I'll talk more about these problems in another post.