Many great guitarists have used the whammy bar, including Jimi Hendrix, Kirk Hammett and Stevie Ray Vaughn, just to name a few. Also called a tremolo bar, a whammy creates incredibly complex sounds, depending on your technique. Before you jam with one though, you're going to need to know how to put it on your guitar.
Check the guitar bridge (the metal piece on the body of the guitar where the bottom of the strings are connected) to make sure there's a hole for the whammy bar. Some guitar models don't have the proper hole. Look for it on the side that's closest to the high-e string.
Place the end of the whammy bar that looks like a screw into the hole on the bridge (assuming you have one). Screw it in clockwise until it's fairly tight, but don't make it immobile. It should still be able to twist fairly easily. Make sure it's where you'd like it to be while it's in its resting position.
Test it by strumming a full chord and then pressing down on the whammy bar towards the body of the guitar. Listen for the sound you want to hear, but be cautious not to press too hard. Pressing it all the way down until it touches the body of the guitar isn't necessary, and if repeated too often, could cause damage to your bridge.