Look CLipless pedals won't stay clipped in

Go and buy a Pedal Wrench (at your Local Bike Shop, or online).
If you buy it from your LBS, then they'll happily demonstrate how to use it, otherwise do a search for Bike Wrench on You Tube.
Hope this helps.
Rgds,
Scott

Which model?

Clipping in and out is a learned skill.

That screw in the picture is probably the tension adjuster. Give it a half turn one way or the other but be careful to NOT remove it.

http://www.amazon.com/Pyramid-41451-MTB-CLIPLESS-PEDALS/dp/B000BMT440

Cleats???

http://en.wikipedia.org/wiki/Bicycle_pedal

http://bicyclehabitat.com/buyers-guides/all-about-clipless-pedals-pg451.htm

You don't need clipless pedals, and its probably best not to use them until you're comfortable riding trails without them. The clipless pedals do allow you to use the entire stroke, and get more power out of your riding, but they're certainly not essential. If the toe clips make you uncomfortable, you can take them off as well; but try to put them back on once you get a little comfortable with the trail. They'll keep your feet from coming off the pedals, and may save you from some pedal-shaped indentations in your legs.

All SPD pedals use a 2-hole side-by-side mounting pattern. Your shoes must have this same pattern or this is no way to mount the cleats.

Look at the bottom of your shoes:

Is there a 3 hole pattern in the shape of a triangle? Then this is a Road shoe, it may or may not have the 2 hole option. If it has the 2-hole option then you will see generally one fixed hole and a long slot next too it. If there is no threaded insert then one has too be added. Some road shoes that are capable of having the 2-hole option need an internal adapter.

If you have mountain bike shoes (shoes that the cleat once installed is recessed), then you should see two side by side holes. Again some shoes need an internal adapter to provide the threading to screw into. These should have come with your shoes. If you don't see any holes, then you may have a cover that needs removing to gain access.

If neither of these is your scenario then you should consider visiting a bike shop to have them look at your shoes and see what the exact problem is. Any half-way decent mechanic or shop person could tell you in a couple seconds if the shoes and pedals are compatible.

You adjust your cleats on your shoes, not the pedal.

TRy this http://www.valleybicycle.com/cleat%20adjustment.htm or Google "spd cleat adjustment"

assuming your using Shimano pedal cleats?

You should have on the bottom of the shoe 4 threaded holes showing.
(if not then you will need to check the shoe box as sometimes they need to be fitted)

The cleat should be placed directly on top of this... with the point facing towards the front of the shoe.
You then need to place the OO plate on top of the cleat and place the crews in making sure the cleat is positioned straight.

Once tightened then place the cleat on the pedal and make sure its position is correct and your shoe is sitting straight then re-tighten.

hope this helps.

p.s. try here http://drivemybike.wordpress.com/2009/05/23/understanding-clipless-pedals-installing-cleats-on-shoes/

Mixed opinions at this site:http://www.mtbr.com/cat/drivetrain/Pedal/wellgo/wpd-823-clipless-mountain-pedals/PRD_428656_135crx.aspx If you have a thin wall deep socket the right size you can service the bearings. I don't know if parts are available. They are considered as entry level pedals.

There are parts on a bike that aren't ment to be taken apart because they are unservicable. Refer to Park tool .com Dood Luck

Pedals can be purchased in pairs and some road bikes do not come with pedals. They have 2 different axle sizes 9/16" and 1/2". There are road pedals and road clipless pedals.The ones with clips and quick bindings require special biking shoes that the cleats clip into.Quick releases come in various lengths for front and rear wheels depending on what wheel you have. This all means a trip to your local bicycle dealer. They will match the pedals to the axel size you need and the type of riding you will be doing. For a little extra cost they will install them.They will also match you up with the proper length of quick release skewer you will need and show you how to install and tighten it properly.Remember to take your bike and the front wheel. Hope this helps. Good riding.