Margins are one of the major attributes governing the way your text is laid out on the page. Each style can have different margins set, as you may want to make your document easier to read by having some sections of text indented.
Margins are the space between the edge of the printable area and the edge of the text. In the Style dialogue box you are concerned with the margins at the left and right of pages; if you want to set the top and bottom margins you should go to the Paper and Header/Footer dialogue boxes.
There are three margin settings in the Style dialogue box, corresponding to the margin markers displayed on the ruler:
Of course, your text will not necessarily sit flush against every margin, unless you have chosen full justification.
You can check the margin settings in a style by looking at the Ruler section of the Changing style dialogue box.
You should set margins using the ruler, which gives you immediate feedback on screen about the results of your choices.
You can check which style sets the margins at a given point using the Regions... command on the Style menu and moving in or out till you see the margin settings in the status line.