Before starting a search, you should ask yourself two questions:
1. What do you know? Determines the search method and terms
2. What do you want to find? Determines which database to look in
For example, if you have a nucleotide sequence (what you know) and want to find the name of the protein it encodes (what you want to find), you would use BLASTx with your sequence is the query, because BLASTx accepts nucleotide queries and searches the protein database.
Alternatively, if you know the gene name (what you know) and want to retrieve the sequence (what you want to find), you could perform a text search using Entrez in the gene database, where you will find the sequence of the genomic, mRNA, and protein sequences associated with that gene.
See the pages for the individual databases and search functions for more details on constructing specific searches.