The basic steps to creating configurable products, e.g. shoes with sizing:
Create the Attributes: Catalog - Attributes - Manage Attributes - code: [your attribute name], scope: global, input type: dropdown, Use To Create Configurable Product: yes, values required: yes. Do not touch the Bottom box. In Manage Label / Options, the top is label, the bottom is the values.
Create the Attribute set that will be assigned to these products: Catalog - Attributes - Manage Attribute sets. Then new group, [set name]. SAVE.
Create the individual products with Attribute set: [your set], simple product, set to Not Visible Individually
Create the configurable product, and add select the [name] attribute set. Associated products, and check those that apply. In Attribute Name, put name that is displayed on the front
Configurable product (and individual ones) then need to be added to the category.