Welcome to the wonderful world of the D5000!
I got mine last year, and yes, it sure did seem intimidating when you first start using it. I did have a little bit of a background with cameras (not much, but a little) so even though I understood many of the terms and theories of shooting, it was still quite an experience getting my D5000.
Here is a thread I started some time ago, that kind of records (and explains) my journey of learning many of the features of the camera.
http://www.disboards.com/showthread.php?t=2370366
Thankfully, it's not just me, but others as well who contributed to it. It might be a good place to learn how to use some of the features that your camera offers. If you decide to go through it, please feel free to add to it with your own shots and experiments and questions. There are so many wonderful photographers here on the DIS that offer some incredible and useful advice on the shots we take.
For Christmas my wife surprised me with Understanding Exposure by Bryan Peterson, so I am looking forward to reading (studying) that book, and it's likely that I will be adding more shots to the thread as well as I hopefully learn more.
I would also suggest that you do something really, really important with your new camera - PRACTICE!!!! I don't mean to just take a few shots here and there, but rather to take hundreds of shots every chance you get. And don't just take random shots (although there is nothing wrong with that), but practice taking certain types of shots. Dedicated at least a few days taking indoor shots, then outdoor shots, then close up (Macro) shots, then far action shots..... You can read all the books on the market, but unless you are actually shooting things it won't make as much sense. So have a blast shooting and shooting and shooting, and hopefully the features of your camera will start to make more sense, and you will begin to see what they are there for, and how to best use them.
Also, even thought the Auto mode is the easiest to use, don't be afraid to throw your camera into the "A" and "S" modes, and eventually even the "M" mode. Again, this is where the practicing comes into use. Rather than waiting for an important shot to try out these different modes (and taking the chance of maybe missing the shot), practice with these modes over and over again on non-important shots. So when the important shots come along you will have a much better understanding of the different modes, and hopefully get that great shot. Remember, one of the best things about digital photography is that you can shoot as much as you like and you don't have to buy new film. You can simply shoot, download, and reuse your memory card. It really is so much easier to practice now than it use to be.
I would also suggest that you post many of your shots here on the Dis (there are threads like Daily shots, Nikon Sharing, etc....) that will allow others to not only see your shot, but if you ask, they will also recommend areas that you can try to change or improve on. I don't think there is a better resource anywhere on the web than what you can get here on the DIS. Here you can learn so much about your camera without getting slammed by snobs. There really are no bad or dumb questions here.
So anyway, just have a great time shooting and practicing with your new camera, and we look forward to seeing many more of your shots.
Someone mentioned digitutor.com to me in addition to the books the other day. It's really great intro/beginners material, all on video, and free.
