The program is already trained with the digits. You can remove any of these digit entries, or create your own. To train the OCR for a new character simply draw that character and click the "Teach" button. This will add the character to the list of characters known by the program.
You will notice that anything that you draw is first cropped, and then downsampled. The high resolution characters that you draw are downsampled onto a 5x8 grid. This downsampled grid is then compared to similarly downsampled grids for each of the digits. To see the grids that the program was trained with click the character in the list that you would like to see.