Go to Setup->Load… and find the setup that is closest to the measurement you wish to perform in the list box. This will load the WinMLS settings needed for this type of measurement. Most setups also contain a wizard that will guide you through the measurement.
Start the measurement by clicking the button (or from Measurement->Start). If you want to cancel the measurement before it is finished, click the button (alternatively the Esc key or Measurement->Cancel).