You got a smokin' deal on that HF CM mill !!!!! There are numerous yahoo groups that have help and library info you can use. Pick a group that focusses on your type mill. Yes, there are such groups !! try the Yahoo group search function to find them. Look for user and parts manual(s) for your mill or a very similar version. The manuals may be available on line (free), or from Harbor Freight, or from a publisher such as Ozark Woodworker etc.
The on-line homeshop machinery forums are a real gold mine of info and expertise. They are very helpful to newbies.
Don't forget to ask the fellows here on gunco.net for some help too. Some of us have machine tool experience. My tiny homeshop has a HF "Big Red" mill, a Mini-lathe, etc... My new shop under construction has a full size K&T Milwaukee H-2 horizontal mill w/ added Bridgeport head, a Clausing lathe, plus other shop machines.
To ease the cost of tooling you can shop for used tooling and salvage that will save major bux. Gotta know what the stuff looks like and does first. For starters get a text book or two on basic mill work (tech school or JC level would be fine). Used machinetool books can be had at college or JC used book stores at big savings.