Where to find component settings
Drag a component onto your screen, hover over it an click the yellow cog to get to the settings for that component.
At the top of the panel settings you can name your component (handy for if you are linking it up to an action on another part of the screen). You can also change the settings to what type of content you want. For example, for an image you can choose a simple image, a banner image, or an advanced image.
How do I make my content interactive?
Your component settings enable you to make your content interactive, because they allow you to add different views, actions, completion options and visibility options. A 'simple' component is set up to make it easy to configure, with less options to worry about. An 'advanced' component gives you almost unlimited options for those who want to get really techie and adventurous. There are also other options which are pre-set for specific use-cases, such as the 'banner' image.
For more information about Views and Actions, take a look at these articles: