1) Leave the film in the camera for now. You have wasted a bit of film, but not all of it. Do NOT open the back until you have exposed all 36 pictures AND have rewound the film into the film cassette. (read the manual on how to do this properly)
2) Shutter speed is the amount of time that you let light into the camera, counted in parts of a second. 1/500 is a very short time used in bright daylight, and 1/30 is a lot longer (suitable for low-light shots). The shutter speed depends on a) the available light b) the aperture , also known as " f stop" (to put it in simple terms).
3) With 400 ASA/ISO film, you can try an outdoors shot with shutter speed at 125 -- 250 and aperture 11 or 16, that will give you some kind of result so you see that the camera works (once you have the roll developed somewhere)
4) Try to understand the relationship between ISO/ASA, shutter and aperture from THIS:
http://photographyelement.com/wp-content/uploads/outdoor-exposure-sunny-161.jpg
5) Shoot some different stuff, using different settings from the chart above. Make notes of the settings, one note per frame number. Once you have the roll developed, you have the notes to compare to the results. That will help you understand some of the relationship between shutter time, aperture and light.
Hope this helps. /Richard