Disclaimer The opinions expressed herein are my own personal opinions and do not represent my employer's view in any way.
Thiru Thangarathinam has an article at 15seconds that goes over the basics. There is an FAQ on windowsforms.net about clickonce that also has some good info. Michele Lerous Bustamante has a category on her blog about Clickonce.
Clickonce can also produce setup files that can be installed from a network share or CD.
Understand that in order to install a WinForm application from a server that uses Clickonce, you simply navigate to a URL that the application is hosted. Because the user is downloading executable content, IE will warn them.
The permissions can be set in the project properties dialog. Check the "Enable Clickonce Security Settings". You state whether the application needs to run with Full Trust or Partial Trust. With Partial Trust, you specify which zone your application will run from and the permissions are shown. You can choose to request (include) or not a specific permission. Also, there is a calculate permissions button.
Next up-> Envisioning and Designing an Application