Where should I start being totally new to HWA?
Go to the Appplication Properties and in the Runtime Options select Direct 3D 8 or 9 and you will be in HWA mode. You don't really see any difference in the program itself. Try the following eventing in both HWA and Standard Runtimes:

Put an active in your frame, assign a bouncing ball movement to the object.
Start of frame:
-Run loop "create" 300 times.
On loop "create":
-Create Active at 320,240
Active leaves frame:
-Bounce

This would run perfectly smooth using HWA (unless your graphics card is 10 years old). The frame rate would probably drop using the Standard runtime.

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Shaders:
Shaders are effects that you can use in HWA mode. They're like ink effects, but they won't only colorize your object. Download the Shaders and put them into your /Effects/ folder in the MMF directory.

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Performance:
You get the best performance by making objects in the power of 2, such as 32x32, 64x64 and etc. Images do not have to be square but use the power of two width and power of two height.