Its fairly simple to use - Click on File -> Check URL and enter the site url you want to check or upload html file from your disk.
Some good features of Xenu :-
1) Allows to upload an html file kept locally - so you can test your changes before you take them live.
2) Allows to give a base URL to start the crawl from and allows to filter on what URLs you would like the checking to be done and what all url patterns can be considered as internal strings.
3) If you want to identify redirection as an error - click the More Options button(in te File-> Check URL screen) and you can click the checkbox at the bottom which says treat redirections as errors.
4) Lot of advanced options to configure your reports - avoid using if you are a newbie.
5) It shows the progress as it crawls all the URLs(If you want a faster crawl you can configure the number of parallel threads in the (More Options screen mentioned in point 3)
6) The useful data it shows :-
a) Title of page (sort it on title and you can easily identify duplicates if any)
b) Level - Level of the page. 0 is the homepage and the pages linked from homepage are classified as level 1 and so on. Ideally all your pages should be 3 or less in level number or search engines have a tough time crawling them. Identify the pages which are deeper in level by sorting on level field.
c)Outlinks - How many links go out of a page
d) Inlinks - How many pages link to that page. For the pages you are trying to rank high on in search results you must have more than 8 level 2 pages atleast with proper anchor text which link to that page(This was one of the tips in a previous article which contained the Top 15 tips for website SEO).
7) Sort on page size to identify if there are any pages that are really heavy. You will be surprised to find some !
8) once the crawling is done let it generate the neat html report at end. Browse through the pages and fix the errors making your site search engine friendly !
Next Read -> Top 15 tips to do website SEO