Conversion Goals is implmented through the Reports > Goals tab in your website administration. This allows you to define exactly what goal information will be reported on by your success metrics, allowing you to customise it for your specific website goals.
By default your website will be set up to report on visitors, enquiries and (if your website is an e-commerce website) orders. You can delete any of this, reorder where they appear on your report, or add new goals of different types.
For a full tutorial on how to use the conversion goals, please view the below training video.
If the below video doesn't work, try reloading the page, downloading the wmv version (right click and 'save link as') or stream the alternate version from another page