Ok, the red stone is your roughest stone. this would be used for dull knives, as well as for changing edge angles and such. say the knife you are working on is too obtuse for your needs. Then you would use the red stone to remove a lot of metal quickly. Stones that remove metal fast are great, but they leave the edge rough. This is why you have other stones, to polish and refine the edge to get it super sharp. This means that ultimately, you want to wind up using the fine, blue, stone. Alas, there is a big grit jump from the red to the blue, so you would be required to waste a lot of time polishing away with the fine stone. This is where the green stone comes in. you use the green stone after the red stone to start to refine the edge a little bit. Once you are done with that, you can move on to the blue stone to get that razor sharp edge.
If the knife you are working on only needs a touch up, and is already at the right edge angle, then you can just use the blue stone. This will remove the least amount of metal, and just simply touch up the edge.
In some cases the edge might be slightly dull, but at the right angle and undamaged. in this case you could use the green stone, followed by the red stone.
There is a seemingly overwhelming amount of information on the correct way to sharpen knives. If you poke around this forum you will find links and many knowledgeable posts about proper technique and equipment. At the end of the day though, the best teacher is experience. Go pick up some cheap knives and get some practice in, and you will have it in no time!