Fairly easy. A watermark is usually a semi-transparent layer added to a photograph for display purposes.
You can use a logo or specific image later but let's just address a very basic example first.
You have completed (or photographed) an image for which you would like to post online. However, you don't want people to use it without permission.
1. SAVE AN UNALTERED ORIGINAL. I'd recommend in a seperate file from your work. If you save something over the original, there is no simple way to recover it.
Now, you want to add a watermark to your image.
2. Add a trasparent layer. In Paint.net: Layers>Add New Layer
Depending on how meticulous you are with your files, you can rename the layer "watermark."
3. Select the text tool.
4. Change the color to white.
5. Be sure you are working in your "watermark" layer. Type "Preview" in your choice of font fairly large. You want it to cover much of the image.
6. Lower the entire layer the opacity so you can see through the "watermark."
7. Merge the layer down. Layers> Merge Layer Down
8. Save the file.
If anything is unclear, please ask and I'll do my best to elaborate. You can do this process with a logo as well but creating a logo from scratch is a little more difficult.