how do you set up pid and what can you use them for

PID is used for a system where feedback is present. P stands for proportional, I stands for Integral, and D stands for derivitive.
It is a way to vary the response of a system with feedback, usually to improve response and improve the ability to maintain a setpoint.
For example a PLC controlling the temperature of an oven. The PLC would control the flow of gas to the burners and a thermocoulple would tell the PLC what the oven temp was.
Usual setup is to start with I and D set to 0 and adjust P until the system overshoots the setpoint, then adjust I to get rid of the overshoot and oscillation, then adjust D until the steady state error introduced by the previous step disappears.
"Autotune" PID does what the name implies. It monitors the process variable and adjusts the three values in an attempt to match the setpoint.
All of this assumes that the system you are trying to control is conducive to PID control and responds much slower than the controller can do the calculations.
Pretty much any college text on controls will give you more information if you are interested in the underlying math. Usally starts with a differential equation which is a simplifed model of a pysical phenomenon, then into S domain which is a bit simpler way to solve and manipulate differential equations, then into the Z domain which is what a PLC or other computer is really using as an approximaiton.