Espresso: Steaming vs Frothing milk on Hamilton Beach 40729?

I bought a cheap espresso machine:
http://www.amazon.com/Hamilton-Beach-40729-Espresso-Cappuccino/dp/B0006FU8AG/ref=sr_1_1?ie=UTF8&s=home-garden&qid=1208398730&sr=1-1
It has a frothing nozzle for steaming/frothing milk, but I don’t know the exact difference between the two. I meant I know how to froth the milk, but not how to steam it.
Anyone familiar with this machine?
to below: thanks for [...]