Tuning:
[Referred to as lowest to highest strings. # = sharp / b = flat]
Your guitar is tuned to a basic major chord, most likely D A D, some of the guitars are tuned to E B E. This is the most basic tuning that you can employ.
Another option for a major open chord is D A F#
Minor Tuning - Just drop the middle string down a half step from the previous major chord - D G# F#
You can also make things a bit more interesting by utilizing a more complex tuning:
7th Chord Tuning - a little jazzier sounding - D A C
6th Chord Tuning - A Hawaiian or western sound - D A B
Here's an online guitar tuner if you don't own one:
How to tune a guitar - under tuning mode you can choose custom and then are able to pick any note you would like.
You can tune your guitar a little higher or lower depending on your taste or to match your voice or any other reason. Tuning it too high for extended periods of time may result in the the neck permanently curving up or broken strings.
Basic setup:
As a way of learning where notes are on the fret board you can mark off the more useful positions with a piece of tape.
To find these spots lightly touch the sting with your left hand and pick with your right. In certain spots there are Harmonics (notes that will ring out clearly)
The three easiest to find and most useful:
Octave of the open string (12th fret) - this is the exact middle point between the nut and the bridge (top and bottom bolts).
5th of the open string (7th fret) - roughly 4-5 inches down the neck from the 12th fret. This is a higher pitched tone.
4th of the open string (5th fret) - roughly 2-3 inches down the neck from the 7th fret. This is the highest pitch of the three.
These three spots along with the open strings are a sort of "safe" note - they will be playable and in key 95% of the time.
These markings are dependent on the placement of the bolts, if the length of the playable portion of the string changes, then the distance between notes will change as well.
If the the bolt on the neck gets in your way you can flip it around by sliding it towards the body to remove it and sliding it back up the neck once it's flipped around. The strings should be spaced about 4 - 7 threads apart on the bolt.
If a string breaks you can replace it with most nickel or steel guitar strings. Acceptable gauge ranges (low to high) are as follows. Lowest string: .042 - .054 / Middle string: .032 - .045 / Highest string: .024 - .035.
Playing:
Hold the slide firmly against the string, not so hard that it pushes down and muffles the note and not so softly that the string buzzes against the slide. It takes a little time to develop the feel for it, but how notes are played is just as important as what notes are played.
A good way to start playing might be to continuously pick the lowest string with your thumb and then find the notes that sound good on the highest string by picking with your middle or index finger. You could use a guitar pick alternating between the string as well. The three "safe" notes listed above will come in handy here. Work on sliding from one note to another, picking the open string and then touching the slide down on the desired note (hammer-on), and then eventually adding more notes on the two lowest strings.
Play around with it, and have fun. If you find something that sounds good to you, keep playing it, add other things to it, change the rhythm or the order of the notes played. You'll develop your own style over time.
Here are some videos that might help you get an idea of the basics of playing Cigar Box Guitar:
Cigar Box Guitar Video 1
Cigar Box Guitar Video 2