Microsoft have created 4 videos on how to setup and use the security settings in a Project Server 2010 environment.
The videos cover the following topics:
- Video: Overview of permissions security
- Video: Permissions for security groups
- Video: Permissions for security categories
- Video: Resource Breakdown Structure
You can watch the videos from this link: http://office.microsoft.com/en-us/project-server-help/video-series-how-security-permissions-work-in-project-server-HA101872154.aspx