How to use prototyping boards
You can use through-hole components to put the leads through the holes in your proto-board then you will need to solder them to the pins and each pin to other pins to make your desired connections.

A quick google search for 'how to solder proto board' or similar will give you some guidance. For example: http://www.instructables.com/id/Led-Cube-8x8x8/step32/Build-the-controller-protoboard-soldering-advice/

If you've never used a soldering iron before go ahead and look up guides for using one of those as well. Good luck!