Hi Joy,
For more details on how to work the program, there is a wealth of information located here:
http://en.wikibooks.org/wiki/Blender_3D:_Noob_to_Pro -- you should have a look through the Interface section before getting down and dirty with the tutorials.
Also, you can find the manual here:
http://mediawiki.blender.org/index.php/Manual/Manual
For the mesh type circle, you'd just click on "Add --> Mesh --> Circle" (alternatively just press on the spacebar and the context menu with "Add" will appear) and then select the number of vertices your mesh circle should have. There are also curves (Bezier or NURBS) that you could actually create a "circle" with, but it all depends on what you aim to do with this circle.