Here's a pic of the quick release in motion, pretty cool animation
Here's a professional explaination(cause I can't explain it really well):
"First, note that the quick release handle is slightly curved. Almost all of them are built this way. Further, one side of the handle often has the word "open" and the other often says "closed". When the curve is pointing away from the bike (and the word open is visible) the quick release is loose, and your bike is unsafe. The picture above shows the quick release in an Open state. Not safe to ride.
To close the quick release swing the lever (see drawing) so that the curved handle points to the bike or the wheel, and the word "closed" is visible. You swing the lever like a door, you don't twist it or rotate it.
The lever swings about 180 degrees.
When swinging the lever from full open, to full closed, you should JUST start to feel some resistance when the lever is pointing straight out (sideways or perpendicular) from the wheel. This resistance should start getting harder at about the 2/3s way closed, and really hard up to the 3/4 point (still 1/4) open. Then it may get easier the rest of the way. Your lever has climbed "over the top" of its cam and is sort of rolling down the back side of its little wheel chock.
Note, that some brands just get progressivly tighter, and there is no perceptable feel of "going over the top".
How Tight is Tight Enough?
When the lever leaves a mark in your hand after closing it, its probably tight enough. The mark should not be bloody - lets not get crazy here... ;-) An indentation that lasts more than 5 or 10 seconds usually means you have pressed hard enough.
Preliminary Tuning
What if you don't feel any resistance, or you feel resistance even when its wide open? In either case your quick release needs to be adjusted.
Resistance when wide open
If your lever binds up or becomes hard to swing and it is still in the wide open position (the word Open is showing) then you have to unscrew (lefty-loosie, righty-tighty) the lever a bit. Now you may use the lever as if it were the handle of a wrench, (without fear of being laughed at) and unscrew it a half turn at a time, then try swinging the lever, then unscrew a bit more, till you get it so the resistance just starts to set in with the lever sticking straight out from the bike.
Resistance never felt, easy to swing from open to closed
In this case, you have to tighten the lever. First open it all the way. Then start rotating the lever like it was a wrench, and swinging the lever every half turn or so, until you just barely feel resistance when it is sticking straight out. If it is really loose, you may have to reach around to the other side of the bike wheel and hold onto the other end of the axle to keep the quick-release end-cap (or nut) from spinning. (Sometimes its easier to just spin the nut with your fingers while holding the lever straight out. When the nut gets hard to turn, you are near the proper adjustment.).
Final Positioning
After you get the resistance dialed in so it just starts getting tight with the lever at the 90 degree mark (sticking straight out from the wheel), grab the nut (other side of the wheel) with one hand, and the quick release with the other, (flip the lever to the full open position) and rotate the two together so that when you close the lever it will be pointing rearward, or parallel to the fork.
Warning: We are into religious territory now. There are people who feel quite strongly about the orientation of quick release levers.
On a bike used only on the road, as long as it is tight it can be pointing any which way. It really does not matter. On a bike you will ride off-road through brushy trails, point them rear-ward so a branch does not catch it and flip it open, as might happen if it were pointing forward. I said "might" happen. Never has happened to me, or anyone I know, but you hear stories....
Some folks like to align the quick release lever so that (when closed) it will be parallel to a solid piece of the bike, like the fork or chain-stay. This allows them to grab the release lever and the fork and really squeeze the two together. It also makes it harder to get your wheel off when you want to, because you can't get your hand behind the lever to pull it out. If you have small hands this technique may help, but if you have a weight-lifters grip, this is unnecessary, you putting more stress on the system than is necessary, unscrew a quarter turn and try again.
Nuts Vs Quick Releases
Quick releases are by far more reliable than nutted axles. Nuts will unscrew over time, but quick releases will not. The quick release is actually stretching the rod (skewers) that runs through the hollow axle to the nut on the other side. This stretching puts a great deal of pressure on the quick release nut on the other side, which has little teeth next to the bike frame. These little teeth dig in and make it impossible for the nut to come loose."
That's a hell of an explaination...
It's a ton better than regular nuts. I'll never use regular nuts on my bike again.