JTH, now that you have rudder pedals, go over the FS2004 lessons again and see what the rudder does. There is good advice and helpful diagrams there.
Basically, if you bank using the ailerons (the yoke controls those) the aircraft dips its wing into the turn and slowly starts "pointing" the nose into the turn too. However, inertia keeps the plane "side slipping" sort of. Which means that if you start a right turn at 300, your heading indicator may read 330 but your track might be 310 still. The turn is not efficient (or correct). To compensate for this, you apply some right rudder in a right turn.
How much rudder? Look under your inclinometer (the bank angle indicator, whether stand-alone or incorporated into other equipment). You will see a vertical "slot" with a ball inside it. When you start your uncoordinated (no rudder) turn the ball veers off. Applying rudder will move it towards the center. In order to execute a coordinated (correct) turn, the ball needs to stay centered all through it.
Did someone say they could fly a real plane? 😛
There are more uses for the rudder. A very important one is when landing in a heavy crosswind. The rudder will keep the aircraft on the right track, even if the nose is pointed off-runway (into the wind). You can use the rudders to sideslip if necessary and to cross the controls if - well, it is hardly ever necessary, but kind of fun, in the sim at least.
Now that you have pedals, experiment with various flight configurations, use wind and power and other control surfaces to have fun and become a better (virtual) pilot!