On the Canon S30, you have to switch the dial on the top to "Tv", then use the little control pad "set" on the right side to the right or the left. The more left you go, the longer the exposure, the more to the right, the shorter the exposure. There is a chart on page 69 i think showing how long each setting sets the exposure.
On thing, to make the picture turn out, you have to have this camera on a tripod. Any movement, and your photo will be a big blur.