Gain is the signal level that's being fed to your preamp. Your volume control is for the output of the power section, which determines how loud your speakers will be.
Use the gain to control how much grit (overdrive) you want in your tone. You should also pay attention to the "clip" light on the amp, if it's lighting up then turn your gain down. It's ok for it to clip occasionally but you don't typically want to run an amp so hot it's constantly clipping.
Also, many times dramatic EQ changes can effect the gain level (cause clipping, etc). So keep that in mind.
Here's a good thread. Does that help? Gain Control versus Volume Control