@Amish: A good pattern will talk you through starting with double pointed needles. If you’re working on something small you really may not be able to use circular needles instead. So, if your pattern specifies double pointed needles (like most small stuffed animal patterns will) then go with that and don’t confuse things by getting a substitute.
So, here’s the difference. In regular knitting with single pointed needles, you cast on to needle 1 and knit the stitches off of needle 1 with needle 2. Then you turn and knit the stitches off of needle 2 with needle 1. On and on and on.
The basic idea with double pointed needles is that you’ll cast on needles 1,2,3 if you have a 4 needle set. (Usually you’ll cast on an equal number to each needle but sometimes a pattern will tell you to space your stitches differently. Space them like the pattern tells you to if it does.) You’ll have a needle that starts off empty. You’ll start knitting off needle 1 with that last empty needle you have. Then with the newly empty needle you’ll knit the stitches off of needle 2, then knit the stitches of needle 3 with the latest emptied needle, and then 1, and then 2, etc.
At the very first actual stitch you make (not the casting on, but the knitting) you should have a circle. If you don’t then you’ve done something wrong.
Many small items like socks are easier with 5 double pointed needles. If you end up using these, then just extend the steps above to add a needle 4 after needle 3.
I hope this helps. Cheers!