P-au-L,
If you're buying the ThinkStick, it just plugs in and works with compatible software--so there's no documentation there.
If you're using the Z-Wave PC SDK, it has a quick start guide, some sample code, and built-in Intellisense to get you started--and then you can log on here to get more advise on how to best use it... Download link: http://www.controlthink.com/downloads/zwavepcsdk/setup.exe
Chris