You will see a list of all the different programs available. By tapping on the TAB key you will move through the list. Let go when you get to the program you want.
If you have a number of programs open and you just hit the COMMAND and TAB key once, you will go back to the last program you were in. For example, I am looking at the internet (using Firefox) and working on a document in Word, but I have other programs open at the same time. It will always remember the last program I looked at so if I am moving backwards and forwards between the internet and my Word document, by just hitting COMMAND+TAB once, I will flick between them easily.
You can also use EXPOSE to flick between a number of windows. This will be another tip!