Ahhh, the manly art of grilling.
It depends. Do you want to cook using direct heat (think of a hamburger directly over the hot coals) or indirect heat (think southern bar-b-que style cooking, more like cooking in an outdoor oven and the heat is all around the food).
With the lid on the grill, you can open and close the vents to make the "oven" hotter or cooler a little bit. To make it much hotter, you need to add more fuel (charcoal).
For chicken legs, you can pre-cook them a bit by simmering them in some water first, and then you finish them off on the grill. Or you can just use the grill like an outdoor oven and 'bake' the legs until done.
You can go simple with just cooking the food, or you can get creative with sauces, or set up the grill like a smoker chamber, or do all sorts of things. Experiment a bit and have fun with it. Just remember to practice safe cooking, don't want to get sick from bad food.
Check out
Food Network for recipes and ideas, etc.