It is not as intuitive as, let's say, 737's autopilot, where you can input headings and altitudes straight in.
On this one, you set the heading with the heading bug on the heading indicator(right hand side knob), or in NAV mode by either NAV(for VOR) or GPS. When it comes to altitude, first you climb with UP/DOWN buttons set vertical speed and as you approach your desired altitude, you just press ALT button to hold it. At least I do it that way. It requires some practise.