I really doesn't make much difference unless you are outside under the sun...and it works best at 90 degrees to the sun's rays. It can also cut down on reflections off of things like glass or water.
Generally just focus as you normally would, then rotate the polarizer. CP's are used for:
1) Eliminate reflections - focus on the surface of the water/metal/glass, then rotate until the reflections are gone. Remember, with an SLR, what you see in the viewfinder is what you get.
2) Darker sky - same thing, focus on your subject, then rotate the filter until the sky is the color you want it at.