Nasby's link is a fabulous starting point - highly-recommended reading.
These scanners can be programmed without software, but the software makes it much easier. The three software packages are Win500, PSREdit500, and Arc500. All of them have a 30-day free trial period. I use Win500 and like it very much; however, some people have recently had problems obtaining a license key for Win500, so you may want to try one of the other packages.
The RadioReference premium membership allows you to choose and load frequencies directly into the software from the RR database - very easy to do and money well spent.
You do have the programming cable, right? If not, you'll need to buy one.
Here's another resource you will find helpful, the online easier-to-read manual:
Easier to Read Pro-651/652/106/197 - WS1040/1065 - PSR 500/600 Digital Scanner Manual