You start spell check by either pressing F7 or selecting Tools, Spell Check.
If you select a word and then start spell check it will check that word. Once it is done checking that word, it will ask if you want to check the entire script.
If no text is selected, it will start checking the entire script. When checking the entire script, it will start where the caret is, check to the end of the script, then ask if you want to check from the beginning of the script back to where you started.
Every time a misspelled word is found, you will see the following dialog box. Click on the control you have questions about to get more information.
See also: Spelling Options