Start your engines
I struggled figuring out how to analyze my games with an engine. Hopefully this will help someone who's as confused as I was.
You'll need a graphic user interface (GUI) such as Arena, Tarrach, Winboard, BabaChess or Chessbase Light. Those are all free. Install that on your computer. Most of them come with some sort of engine prepackaged.
Install Houdini or the engine of your choice in some directory (doesn't matter where) on your computer where you can find it.
Using the GUI of your choice, open the "engine" menu. Maybe under analysis or preferences somewhere. You may have to look around a bit, but it shouldn't be too hard to select the engine by browsing to the directory where you saved Houdini and opening it. You can set parameters here too...chose how long you want it to think about things, how deep to look etc...
The hard part for me was, what now...? I'll use Arena in my example, but all of them are similar. When you open it up, nothing is loaded. You'll just have the board waiting for a game. Go to File>Open and browse to a .pgn file anywhere on your computer. You'll have to have a game to analyze obviously. There's tons of free databases you could use, or just play a quick game and use that. I usually save a .pgn from a recent chess.com game and look at that.
Once you have a game open and you see the move list, open up your engine. In Arena it's Engine>Install New Engine if you haven't already. Then Engine>Manage Engines and add Houdini to your list of available engines. Lastly (as far as getting your engine ready to work) go Engines>Load Engine and select Houdini to make it the active one. Arena will actually allow you to pick two if you want and have them play each other. Now we have an engine ready to go, and a game to evaluate. There's a couple routes you can go now.
BabaChess working with Crafty (comes with it) is the only program I know of that will analyze games and spit out annotations for you right into your .pgn file with no interaction. It just does it all alone and you just read your annotated game afterwards. Most programs work like Arena. You'll either analyze as you step through the moves one by one manually or evaluate each position's score, comparing the changes in score to the previous position (more on this later) OR, you'll have the engine analyze your whole game and then go find the output log file for review.
Either way takes more than a couple minutes, but you're probably not in a hurry anyway right? If you're doing the manual method, do this... Again, I'll use Arena for the example. Interfaces differ, but in general there will be a button to "start" your engine. In Arena it's a button that says "Analyze" right in the middle of the window under the move list. Careful not to hit the 'computer chip' button as this will just simply think for a while and make a move. You'll then be playing the computer from there on. The "analyze" button will start the engine thinking and you'll get suggested lines in the bottom of the window. Each line is a different possibility. Each one will have a 'score' in front of it. The first number is number of moves...how deep it looked. The second number is the time. The third number is the score. This is important. It's ALWAYS from White's point of view. So a score of -0.30 means that black is ahead by .3 (1/3 of a pawn). Now this isn't strictly material. It's a value of the position AND material. So if white's ahead you'll have a +0.3 so don't get confused. If you're looking at it as the Black player, then a negative score is good for you. Most programs work like this. Then hit 'right arrow' or roll the mouse button to move on to the next move and evaluate that score. Keep doing this until you notice a big change. That's probably a blunder or a missed tactic. I typically look for changes of 1.0 or greater as a red flag.
Then there's the auto-mode. In Arena go Engine>Automatic Analysis and configure it how you want. The most important thing is to look at the output tab. It says where your text file will be left when it's done. You can specify a location here too. The easiest way to view the file is from the config window you used to set up the output. There's a pair of glasses next to the file location, just hit that and it'll open up for viewing.
That's all I have to say about that.