Let me explain this:
In your edit mesh modifier, select a mode for surfaces; either faces, polygons or subobjects. Then, scroll down to surface properties. You'll see a huge field with a whole bunch of numbers next to and above each other. These are all the different smoothing groups.
If you select a polygon now, the smoothing groups for that specififc poly should be highlighted, and you can change em by unclicking and clicking groups to change this.
What these groups will do, is smooth everything of the same group together, and create sharp edges between different smoothing groups. There's a whole lot of possibilities, as you can see there are over 30 groups assignable (multiple groups possible for one poly). I usually don't need over 7 though.
So you can just assign these groups by selecting poly and clicking ahead. It's also possible to do this automatically, by defining a minimal angle between polygons that should be kept as sharp. By default this is 45 degrees: lower it, and blunter edges will also be kept sharp, raise it, and only the sharpest edges will be kept.
I usually assign group 1 to everything, and then start detailling in by changing groups to other numbers where necessary.
Ask if you need any more pointers