Okay, at this point I am assuming that you are relatively happy with the basics of harmonica playing. If not then you can browse through some/most/all of the lessons at the excellent www.harmonicalessons.com. This section is designed to teach you the finer details of harmonica music theory.
From this point on I will also assume that you are familiar with the general anatomy of the standard ten-hole ("diatonic") harmonica and can play single notes with relative ease. The chances are you have started off learning with a C major harmonica (hopefully a Lee Oskar - but that is just my personal preference), so I will be refering to the notes on that particular harmonica. If you are not sure, check on the side of the box/harmonica.
Incidentally, it would be of great benefit if you had access to a piano or electronic keyboard for this section. Failing that, some other instrument capable of playing more than one note at a time (and someone who can play it, obviously).