Your question is so broad that no one will be able to give you a detailed answer here. To get started you're just going to have to get your feet wet.
1 - Visit
http://www.altera.com/literature/lit-nio2.jsp and absorb as much information as you can. Specifically, there is a new Embedded design Handbook that contains a first time user's guide:
http://www.altera.com/literature/hb/nios2/edh_ed_handbook.pdf 2 - Fire up SOPC builder, create a very small system with a NIOS processor, some onchip memory (for code storage and execution, and a PIO port that you can use to drive an LED on the DE2 board. Instantiate this newly designed system in your top level.
3 - Fire up the NIOS II IDE and create a software app for your new system that blinks your LED.
If you get this far, you're doing great.