How to do long exposure photography on a Nikon D5000?

I just decided to start doing photography, I know nothing about it but the type of photography that really caught my attention is the Long Exposure Photography. I got myself a Nikon D5000 and I'd like to know how to achieve a 30 second exposure night shot (which I believe is the one that's possible without having a tripod or a remote control - a hard surface and my finger is enough). This is what I have in mind to photograph:
-Buildings
-Bridges
-Stars
-Moonrise
-Sunset
Anything in dark conditions preferably, although I wouldn't mind doing day long exposure, if it's possible. Any answer is much appreciated, thank you in advance!

A tripod certainly helps, but you can use a sturdy surface and the self timer. One problem with using that method is there may not always be a stable surface that you can set a camera on handy. Set your camera on "S" (shutter priority) and choose the shutter speed. You will also have to consider the situation and what aperture and ISO you want to use. If you want to make long exposures in daylight, you will need a neutral density filter.

If you're trying to achieve motion blurr of car's headlights, or such, you should set the shutter speed very low. Make sure you set the rest of the settings accordingly so it doesn't have a yellowish tint on it.

First and foremost invest in a tripod. A firm surface isn't always going to be available plus its not always going to be exactly where you want to compose your picture - and there's no guarantee it will be level.

Second, your camera has a maximum shutter speed of 30 seconds and a self-timer. Use the self-timer to release the shutter.

I use and recommend this site for low-light exposures:
http://www.calculator.org/...osure.aspx

I used the Scene 'Distant view of city skyline or floodlit buildings' and ISO 200 for these pictures:
100mm @ f11, exposure of 30 seconds.
200mm @ f11, exposure of 30 seconds.

When photographing the moon, if you use ISO 100, try an exposure of f16 at 1/100 sec. If you aren't happy with the results try f11 @ 1/100 sec.

Unless you plan on investing in an equatorial mount for your tripod about all you can do when photographing stars is create star trails. This site explains this:
http://www.danheller.com/star-trails

Here are a couple of sites that seal with astrophotography:
http://astropix.com
http://www.popphoto.com/how-to/2008/12/how-to-astrophotography-101

For sunsets put your camera in Aperture Priority and use a small f-stop such as f11 or f16. Use your tripod.

This video tutorial will help you learn more about your camera:
http://www.nikondigitutor.com/eng/d5000/index.shtml Who better than Nikon to teach you all about your Nikon D5000?

So read everything referenced, buy a tripod, and enjoy night photography.