Object pronouns

Position of Object Pronouns

An object pronoun generally goes before the verb.

Me dio el libro:  he gave me the book

Exceptions: when a conjugated verb is used with an infinitive or present participle, the object pronouns can either precede the conjugated verb or be attached to the infinitive or participle

Voy a leerlo,

lo voy a leer =  I am going to read it

Estoy leyéndolo,

Lo estoy leyendo= I am reading it.

In affirmative commands, the object pronoun must follow the verb and is attached to it

Léalo a su madre!:  read it to your mother!.

When an indirect object and a direct object pronoun are used together, the indirect goes before the direct object pronoun

No te lo doy: I am not giving it to you

Léamelo: read it to me.

If both pronouns are of the third person, se is used instead of the indirect object le or les

Se lo di: I gave it to him

This se is not to be confused with the reflexive se

Se las lavaron they washed them.

Use the following pronouns for a direct object
Me
Juan no me ve: John does not see me
Te
Te quiero mucho: I like you a lot
Le
Senor, no le comprendo: Sir, I don't understand you.
La
Senora, no la veo a Vd: Madame, I don't see you.
Lo
¿Dónde está tu libro? Ve a buscarlo! Where is your book? Go and get it!

Pronouns are definitely not an easy thing to understand. Practice is the best!
Follow this link for more explanations on the pronouns and other grammar topics.
http://education.yahoo.com/reference/dict_en_es/front/notes