When you have used up the yarn, how do you continue knitting with a new roll of yarn?
You just take the new ball and start knitting with it leaving a tail of the old ball and the new. If you are working back and forth and the item will be seamed some people like changing at a side edge. If you are working in the round you can change anywhere and you can just start knitting or knit 1 stitch with both yarns held together, you can do that if you start a new ball in the middle of a row when knitting back and forth as well. If you knit one stitch with both yarns be sure to treat it as one stitch the next time you come to it.
Also, there are a few videos here at this link. Look at the section for joining yarns.