If you mean the first time you run an app (or enter a website) the whole screen grays out and you get writing and arrows explaining it: don't. Users /hate/ it.

I have a little experience in this, but have talked to others who did a lot of research into it. In this case we're not just talking about reducing satisfaction, but actually increased abandonment. 4-8x more people don't finish the tour, then delete the app (similar issues for websites).

You are better off, always, just making the functionality of the site more apparent off the bat. You CAN demo stuff, but it has to be inline with their actual use. Help can work to allow users who want more info to pull it to them, but is fraught with peril also. Be careful not to imply they need help, because they aren't smart enough, etc.

That said, I have had to make them a couple times, so may be able to point you the right direction at least. Is the question one of design or coding?