I'm very sorry you've had trouble getting started with RadGrid! Let me see if I can point you to some resources that should help:
DEMO: Automatic Insert/Update/Delete Operations
DEMO: Command Item (showing you how to enable auto UI for adding new rows)
DOCS: Inserting Records Using In-Place Edit Form
DOCS: Insert at Database Level with Queries
If you're using a ASP.NET DataSource control, you really don't do anything! Just connect your RadGrid to the data source control (such as the SqlDataSource) via the DataSourceID property. Assuming your DataSource is configured to allow inserts, you can set the AllowAutomaticInserts property on the Grid to "True" and that's all you'll need to do.
Hope this helps. Let me know if you get stuck and I'll be happy to provide more input.