Just in case you lost your manual, here's the keystrokes for the PS2. Other systems will have a similar setup.

left stick - move around.
right stick - enter and exit first person mode
left directional - previous weapon
right directional - next weapon
square: activate something - i.e. open a door, grab a person, push a button
triangle: throw a throwing weapon
x: jump or leap
circle: used for fighting, see below
L1: Use focus to do matrixy special effects
R1: Draw weapon, fire weapon
L2/R2: strafe left and right

Fighting
square: blocking
triangle: punch
circle: kick
circle plus triangle: throw
right stick: stop fighting

In general, try to shoot people that are far away and have guns, but save your ammo if you can close the distance and take them out with your hands. Healing is free - stop and heal whenever you can.

Enter the Matrix Walkthrough

Enter the Matrix Review