Spaces is a new feature in OS X Leopard that allows you to organize your windows into groups of different spaces (think different desktops). For example, when I record the podcast, I have a space setup that shows Garage band, Podcast Maker, and iTunes; everything I need to record my show. These are the only things that appear on that desktop space. You can create your own spaces and organize things how you like.
1. Open 'System Preferences'
2. Select 'Expose & Spaces'
3. Click on the 'Spaces' tab.
4. You can setup different features in this panel. You can have up to 4 rows x 4 columns of spaces, for a total of 16. That is a lot of different spaces. If you are just getting started with spaces, start with the default, 2x2.
You can setup shortcut keys to move from space to space, add spaces to the menu bar, and assign applications to automatically open in a specific space.