Can any one explain how the dungeons work?
The wiki gives a good explanation. Your objectives are on the top right and indicators/markers should be on your map.
Dungeons have 2 parts, story and explorable. Story goes over the dungeon and ties into personal story. It’s like an intro section. You can’t start explorable mode until you have done story, although if someone else is opening the dungeon they can bring you in even if you haven’t finished story mode. Explorable gives tokens for end-game gear and is full of combat, etc.
The most important thing when doing a first dungeon is to tell your party members you’ve never done it before. Most people are perfectly willing to help a new person, but you need to say that at the beginning or they won’t know.
Wiki link, you really do need to read this: http://wiki.guildwars2.com/wiki/Dungeons