Hi and welcome.
This is a good intro to sharpening:
http://users.ameritech.net/knives/index.htm
Short version is, make sure you're working on the edge and not the shoulder. There are two ways to ensure this. The first is to match the angle on the bevel using the "marker trick." Take a sharpie, mark down the bevel and run the stone at a given angle. If it's scraping off the marker from the whole bevel, you've got it right. If it's scraping it off from the shoulder your angle is too acute, if it's only taking it off the very edge it's too obtuse. Second way (and my recommendation) is to pick a reasonable angle and then work away at the shoulder with the coarsest stone until the whole bevel matches that angle. This might take quite a while depending on the type of steel, the length of the blade and your new angle vs the old angle. This changing of the bevel angle is what people call "reprofiling" or "rebeveling."
I should note here that most factory knives bevel angles are horribly obtuse, change from side to side and along the length of the edge, and often don't even meet all the way down the edge. This is why I suggest the steps outlined above.
Now that you've (finally) got the bevels to where you want them, sharpen the knife all along one side until you can feel a little burr with your fingernail all down one side of the edge. If the knife is short I'll do it in one shot by clamping the Lansky halfway down the length, if it's longer I'll divide the blade into sections about 3" long, clamp the lansky halfway down one section, sharpen that, and move it to the next. Once the burr is all down one side, do the other until there's a burr along the side you sharpened first. Then, raising the angle one step above (from 17 to 20 deg, for example), polish away at the edge with the finest stone, using very little pressure and alternating sides, until the burr is gone.
Edit: Wipe off the knife between stones or you'll ruin the finer ones!
As for serrations Lanskys don't really do them well, I suggest you try a Sharpmaker.