Well, before learning how to shoot tethered with Lightroom, you had better make sure that Adobe has support for your camera, because not all cameras can take advantage of the tethered capture option. However, if you shoot with a relatively recent Canon or Nikon DSLR, you should be okay. Adobe found that some cameras worked better than others, so check the list below to see if yours is there.
Nikon: D3, D3s, D3x, D90, D200 (Mac OS only), D300, D300s, D700, D5000.
Canon: EOS 5D, EOS 5D Mark II, EOS 1D Mark II, EOS 1Ds Mark II, EOS 1D Mark III, EOS 1Ds Mark III, EOS 1D Mark IV, EOS 7D, EOS 500D/Rebel T1i, EOS 450D/Rebel XSI, EOS 1000D/Rebel XS, EOS 350D/Rebel XT, EOS 400D/Rebel XTi, EOS 20D (Mac OS only), EOS 30D, EOS 40D, EOS 50D.
Note: Users of the Canon 5D, 20D, and Digital Rebel XT must set their cameras to PC Connection Mode before starting tethered capture. Windows users who have a Canon 5D, 1D Mark II, 1Ds Mark II need a driver download from the Canon website before starting tethered capture. Owners of the Canon 1D Mark II, or 1Ds Mark II should use a firewire connection.1
If your camera is not listed above, then at this moment in time it may not be supported by Lightroom 3. Adobe are looking to add support for other cameras in the future, and are happy to receive user suggestions for which ones should be next if you fill out their feature request form online.