Everything is in the manual. please read carefully.
In summary (a simple search in the net will give you tons of information actually).
Advance (Shutter Release) Mode top
You can check your D5000's current setting by pressing either INFO button (one is right by the shutter button on the top of the D5000) and looking along the right side of the screen.
You set this by pressing the INFO button on the back bottom left of the D5000 a second time and then clicking up and down.
Default; press the shutter and you take a picture.
Continuous [ ]]] (bearded rectangle)
The D5000 shoots pictures continuously for as long as you hold down the shutter button.
I prefer the Continuous mode, since it shoots one photo if you press the shutter just once, or many photos for as long as you hold down the shutter button. The default Single mode shoots just one picture, regardless of how long you hold the shutter.