When you launch Oligo you need to open a sequence file for analysis. Use File-Open menu or double click on the sequence icon. The File-Open window, shown below, lets you choose desired sequence file.
Since Oligo opens several kinds of documents you may set the dialog to "Open As: Nucleic Acid" if it shows something else. Sequences are recognized by Oligo if they have *.seq extension, however *.txt files are also compatible. After selecting a sequence file you will see the Sequence window, presented below. Move mouse over the areas of that window for explanations.
At this point you may modify your sequence, search for primers/probes or use any of the analyze options.