The first set of websites that I have listed here contains some general information about studying history through the use of primary sources (and also explanations of just what are primary sources).

• Using Primary sources (from the Library of Congress) while directed at teachers, has some good questions to "promote student inquiry."
• Primary Source (the Wikipedia entry accessed 2 February 2011) has very good sections on "Using Primary Sources" and "Strengths and weaknesses of primary sources"
• Using primary sources is a good quick introduction that likens the work of the history to that of a detective.
• Why Study History through Primary Sources is a great reminder that using primary sources have been a fundamental part of the craft of modern historians since the turn of the twentieth century
• I am sure that there are other resources available on the web.

I also have a list of some resources more specifically focused on using newspapers for historical research.

• The American Historical Association has some rather complicated/theoretical remarks by Jerry W. Knudson, Late to the Feast: Newspapers as Historical Sources
• Jack Censer, Dean of the College of Liberal Arts and Human Sciences at George Mason University, has some great remarks on Getting Started with researching historical newspapers (non-Flash version available).