What tutorial were you reading ? The sun's one tackles that topic quite thoroughly, but you have to read it correctly :)
Capturing a part of a string is done through the parentheses. If you want to capture a group in a string, you have to put this part of the regular expression in parentheses. The groups are defined in the order the parentheses appear, and the group with index 0 represents the whole string.
For instance, the regexp "Day ([0-9]+) - Note ([0-9]+)" would define 3 groups :
- group(0) : The whole string
- group(1) : The first group in the regexp, that is to say the day number
- group(2) : The second group in the regexp, that is to say the note number
As for the actual code and how to retrieve the groups you've defined in your regexp, have a look at the Java documentation, especially the Matcher class and its group method : http://java.sun.com/j2se/1.5.0/docs/api/java/util/regex/Matcher.html
You can test your regexps with that very useful tool : http://www.cis.upenn.edu/~matuszek/General/RegexTester/regex-tester.html
Hope this helped,
Cheers