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First, you need oil research.
Then, you need to place oil pumps and oil refineries, hooked up together with pipes. (you'll probably want to look at a video, as pipes can get ugly very, very quickly if you make a mistake)
You'll need some tanks to store all three products (heavy oil, light oil, petroleum gas), each of which has unique uses. You generally won't need much heavy oil unless you go crazy with tier 3 belts or robots.
You can also put oil into oil barrels by using a level 2 factory or better, which can be stored in your inventory if you so desire. However, you will not be able to craft anything with these barrels, so there is not much point to putting them in your inventory.
To use oil as an energy source, first you split it up, and then you turn any of the products into solid fuel. It is generally recommended to use light oil for this purpose, as it is the most efficient, but the others can be used in a pinch. I recommend only using it to run trains, as using it as a fuel source for boilers will burn through your supply of oil rather quickly, and you need it for other things (mostly plastics-you'll need a lot) and you can eventually turn light oil into petroleum.
Once you get your oil refined, one of the products you will make will be Sulphur. You will use that for Sulphuric Acid, and that to make Batteries. You can use these to make Accumulators, which will store your Solar Panel output for use at night. (Search the forums for the correct ratio of panels to accumulators to see you through a night.)
Higher tier belts move more stuff per second per belt. For example, a line of yellow belts can transport enough ore to supply roughly 16 electric smelters (I forget the exact number, too lazy to look it up). A red belt can move enough ore to supply roughly 32 electric smelters, and can be handcrafted in a pinch.
A blue belt (tier 3 belts) can move enough ore to supply roughly 64 electric smelters, but requires oil processing. It cannot be handcrafted, and must be made in a tier 2 factory or better.
Robots are flying minions that haul and build stuff for you. They're a bit further up the tech tree. They are a touch expensive and complicated to create, but can tremendously simplify your factories once you get them set up.
Others have mentioned how to use oil as fuel. Oil->refinery->(petroleum, heavy oil, light oil)->chemical plant->solid fuel.