IK effector setup

Hi there again, next problem on the list is IK effectors. I have an IK arm that I’m trying to rig up but I cant figure out how to animate the bloody thing. I can grab the end bone in the viewport and drag it around and it solves no problem. But when I set a key on its position it just sticks at the most recent key i have set. I have seen lots of tutorials where an extra bone is placed as an effector but i cant make head or tail of how or why you do it like this. Anyone fancy giving me a quick runthrough on how to setup and animate the IK effector?

cheers

http://wiki.blender.org/index.php/BSoD/Introduction_to_Character_Animation/Lower_body_armature
This tut really helped me in rigging IK setups.