You said you looked at the MSDN site so I assume you mean this one

http://msdn.microsoft.com/library/default.asp?url=/library/en-us/directx9_c/directx/graphics/reference/d3dx/functions/mesh/d3dxintersect.asp

in which case, it seems fairly simple. There are only three inputs, the mesh you want to check it with, the starting point of the ray, and the direction vector of the ray. All the other values are output and most of them you will find are entirely unnecessary for what you want. In fact, the ONLY one that you want to use if you're merely using this for picking is the pHit BOOL. This will simply tell you if the ray interescts your mesh. If it does, then you've picked it, if not... then you haven't. pDist can also be a helpful function for other D3DXIntersect uses, but you don't need it for this. So to use this function, just create a bunch of values following the following structure

BOOL Hit,
DWORD FaceIndex,
FLOAT U,
FLOAT V,
FLOAT Dist,
LPD3DXBUFFER pAllHits,
DWORD CountOfHits

The exact names don't make a difference. I'm using local variables here rather than pointers, since you don't need to keep the values anyway it's simpler to create the objects directly rather than pointers and then they'll be deleted when the function completes. However, make sure when you refer to these variables when you call D3DXIntersect you use &Hit, &FaceIndex, etc.

Finally, a word of caution. Don't use this as your first line of checking or you will kill CPU power. If you're picking you need to check all the objects on screen that can be picked. These will all be meshes and you don't want to call a D3DXIntersect on each of those meshes every time you try and pick. Use box/sphere/cylinder detection FIRST, and if that returns true, THEN use D3DXIntersect.

Good luck!