I am totally new to Blender and i want to make a space in wall for a door but though i saw the official starting Blender tutorial about modelling i dont have clear how to make this.
There’s many ways, but you could simply take a plane and loop-cut it. Add a plane, go into edit mode(Tab), then top view (7 on the numpad), hit ctrl + R while hovering over an edge, then scroll the mouse wheel up once to get two loop cuts, then left-click to stop. Add another loop cut for the top of the door, this time on the edge perpendicular to the first, slide it to where you need it, then left-click to stop it again. Choose face select at the bottom, then select your door face and delete it. You can then select all with A, and extrude to make the wall thicker. Should end up with this: http://img836.imageshack.us/img836/2420/doorn.jpg Now you have loop cuts to play with, and you can just extrude the edges of your wall and shape it however you like. Sounds complicated but it’s really basic stuff. You’ll be loop cutting like crazy in the future anyway, might as well start now. Also, Loop Cut and Slide is over in your Tools on the left. Instead of adding two loop cuts, you can add one and slide it to wherever you like before clicking to stop it. Ctrl + R as mentioned before is simply the shortcut for it. Have fun! 
EDIT: If this helps you any, here’s the same idea for some windows: http://img832.imageshack.us/img832/9946/door2i.jpg
You may want to consider posting this question on the modeling forum topic under support.