I would strongly suggest watching some of the videos here on Knitting Help.
Purling: Your R needle should enter the stitch from Right to Left in the front of the stitch resting on the L needle. Most importantly, your yarn needs to be at the front of the work (not behind like when you're knitting).
For me, there is no difference in how the work is held. The thing that changes is where the working yarn is held. When purling: front of work. When knitting: back of work.
Using LTCO, you make the choice as to whether you'd start with purls or knits. Sometimes I knit the first row, sometimes I purl it. Experiment to see which you like best. Lately, I've been kind of partial to purling my first row. Don't know why, I've just liked it better lately.
Here are some great videos on Knitting Help that will help you in your quest to purl:
[COLOR="Red"][B]THE VIDEOS ARE REALLY GREAT!![/B][/COLOR]