How do you "Undo"?

Yes I now I sound like an idiot, but I can’t find anything that says how to undo what you just did, it’s really annoying because I’m still learning and I’m messing up alot, also can I undo like in PSP 8? Meaning I can undo then undo the thing before that and so on?

only in edit mode on meshes [currently]

the shortcut is the U key, I think shift+U is redo

In Blender 2.34 you can only undo in Edit mode, you do so by hitting U and shift-U to redo.

Right now the developers are working on a global undo, meaning undo everything, which should be available in the next release. You can go over to the testing builds forum of if you want to use a test version of 2.35, just know that it may be buggy.

can I undo like in PSP 8?
You refering to the history palette in Photoshop? No, you can’t do that in Blender yet.

right now there is an undo function only for edit mode.

U key to undo. Shift-U to redo. Ctrl-U brings up an undo menu.

No no, ctrl-u saves the user defualts.

You undo with the U-key. The number of undo levels can be set in the User Preferences under Edit Methods. Alt-U shows the Undo Menu. Shift-U is redo.
In the 2.34 release, you can only undo Mesh changes. In the current CVS version (which can be acquired here), however, there is a Global Undo, which you can read about here.

Thanks, I only needed it for Edit Mode.

There’s going to be a global undo in 2.35 if you read the change log.