This is an incredibly useful and important feature, and it is right there any time you need it. Just make sure the power switch is all the way on (to the bent line) and any time you turn the wheel on the back of the camera you are adjusting exposure compensation. The power switch has a part way on position (labelled "ON" that disables the wheel). I never use this part way on setting and don't find that the wheel gets accidentally moved. Your experience could be different though.

The 1D camera allows +- 3 stops of compensation.
The 5D and 20D allow +- 2 stops of compensation.

It works only in Av, Tv, and P modes.

The usual way I use this is to study the histogram and add or subtract compensation to move exposure right or left. Either that or I guess or use trial and error in some other way.