One of the biggest challenges is finding the appropriate datasets to use in WRDS. Fortunately, there are data manuals and overview descriptions that will help. On the main page when you log in there is also a section called "What Type of Data Are You Looking For?" which will help you narrow down to the appropriate datasets.
In addition there is a Knowledge Base and online support available. Doing a search in the search box is an easy way to find resources to help.
Finally, there is WRDS Support that is able to answer questions. There is a link within WRDS.
Ben Hall, the finance and data librarian, is also available to help. His email address is email@example.com