This article is from the Bicycles FAQ, by Mike Iglesias with numerous contributions by others.
The odd-looking thing which attaches most front wheels, many rear wheels
and some seatpins is not a sort of wingnut. It is a quick release lever.
If it is not properly fastened, your wheels are loose. If this description
isn't clear, go to any bike shop or find any local bikie person and get
them to show you. It's hard to describe, not obvious until you've done it
yourself, and it is important to get right. It's easy when you know how --
road racers can get their wheels changed in five seconds!
1. Make sure the floppy lever is pushed over to its "OPEN" side. This
lever operates a cam to close up the 'skewer' later.
2. Loosen off the little nut on the other end of the skewer just enough to
get the wheel into the dropouts in the frame. Slide the wheel into the
frame, and balance it there while you do the next bits.
3. With one hand, hold the operating lever straight out (parallel to the
axle), halfway between OPEN and CLOSED. With the other hand, tighten the
nut opposite until you feel resistance.
4. Push the operating lever over to CLOSED. This should be a tough
operation, if you've got the nut adjusted right. It should not hurt, but
it should leave a dent in the palm of your hand for ten to twenty seconds
afterwards! If you have the tension right, the wheel is now very safely
and solidly held.
5. If the lever really won't close all the way, open it (the full 180
degrees to OPEN), loosen the nut about 1/4 turn, and go back to step 4. If
it closes all the way without much resistance, open it all the way, tighten
the nut 1/4 turn, and go back to step 4.
If your bike doesn't have the stupid bumps, clips and 'lawyer lips' often
added, you'll never need to adjust the nut again. The only action needed
is to flip the lever between CLOSED and OPEN.
The subtle extra is to point the Q-R lever down, towards the ground, in its
CLOSED position, so that it doesn't get caught on anything solid when
you're riding. This is infinitely less important than doing it up