Ok, so you've installed Drupal and gotten it working. You've added a module or two, and maybe you've even changed the theme. Now you want to do more, and adding modules or changing the options doesn't seem to cut it. Maybe you've found that things don't look quite like you want them to, or you want there to be more functionality in a particular module.
Another place to look for issues or bugs in contributed modules is: Module downloads page. Click on "Bugs and feature requests" under your specific module to see if someone has already addressed the issue. The next place to go is to the forums.
Specifically for Themes
You might find that some Drupal 4.6 or earlier themes you've installed don't seem to show up. If they are run by the phpTemplate Engine, you'll need to download it and install it. If you are using Drupal 4.7 or later, you already have the phpTemplate Engine installed by default, so no worries. If you have problems with implementing and changing with specific themes, check out the Theme downloads page. Click on "Find Out More" under your specific module, and then click on "Bugs and feature requests" to see if someone has already addressed the issue. Again, the next step would be to go to the forums.
Another great resource is the forums where you can ask your question to anyone, typically in the "How do I..." section. Be courteous, and please search for your answers first. Don't be dismayed if you can't find it right away. Chances are, someone else has already asked and answered your question, but that doesn't mean the search will find it right away. Some people use Google to do a website search by typing in "site:drupal.org" in the search box.
If your answer was not anywhere listed above, the next step may be to customize your install of Drupal by changing the code. Now, you've entered the realm of developing Drupal, or customizing the code to suit your needs. Look at the Contributer's Guide to start, and you may end up with something we all can benefit from. There is a Module developer's guide and a Theme Guide. Also very helpful is the: API, or application program interface. The API is an interactive repository of information on all the functions, modules, constants, variables, etc that are used in the core Drupal code, and it's very useful if you want to understand the relationships and purpose of different parts of Drupal. You may eventual find that your new function, module, phpcode snippet, etc. can benefit the Drupal community at large. There are several ways to do that - post it in the forums, add it to PHP page snippets, or apply for git access and add it there.