Killfiles are a way of not having to download messages that you know you don't want to read. Supposing you were on a newsgroup, and there was someone you didn't like, and didn't want to read his messages. Then you can set up a killfile so that his messages won't be downloaded, thus saving you download time (and money, for those paying 'phone bills). Let's suppose the newsgroup is comp.sys.amiga.misc, and the person is 'Mr Annoying <email@example.com>'.
Select 'KillFile' from the Preferences menu. Type 'From:' (don't type the quotes!) in the 'Header' box, type 'Mr Annoying <firstname.lastname@example.org>' in the 'Text to Kill' box, and in the 'Newsgroups' box, type 'comp.sys.amiga.misc'. Now select the 'Add/Replace' button. The details should appear in the list. Click on the close gadget of this window, and the killfile will be automatically saved.
If you ever want to delete a killfile, simply select it in the list, and click on 'Delete'.
Click here for a detailed explanation of this window, and how to do other types of killfiles.
There is also an easier way to set up killfiles if you have an example message. Select the message, and click on 'Kill' (or 'Add to Killfile' from the Messages menu), then choose what you wish to kill. You can then either choose 'Kill in all Newsgroups' or 'Kill in this Newsgroup' (for crossposts, only the former option will be available).