Ya I am so stuck here too!! I'm knitting an Afghan though. So it's that easy? Just knit on regularly but with the two yarns knotted together. I'm not so clear on the weaving part though? Is there a special way to do it or do you just weave it in so it's not sticking out?
You might want to watch the videos on joining. There are a variety of different ways to join a new ball of yarn, most of which do not involve knots in your work. If it's a wool or animal fiber yarn, you can use a "spit splice" which essentially felts the two ends together as one continuous strand of yarn.
I like Amy's video on joining by tying a loop, knitting a few rows, and then untying it and weaving in the ends. Depending on your project, and how bulky it will look, you can knit 3 or so stitches with the old yarn and the new yarn together, then drop the old yarn and just continue with the new.
I recommend viewing the videos on joining and see which way you like--there are still a number of others I didn't mention, and most of them avoid unsightly (and uncomfortable) knots in your knitting!