How to photograph moving objects with a Nikon D5000?

I'm new at using DSLR cameras and recently got one.
When I'm trying to photograph moving objects, such as people walking, the auto focus doesn't work very well. In an auditorium, the subject comes out blurry.
What settings should I use to get clearer shots of moving objects/people? Tips? Suggestions? Websites?

The same as in any other camera, using wide aperture and high speed

A DSLR is not simple to use like a point and shoot. Using one successfully requires at least a basic knowledge of photographic technique. You need to read some books, starting with a careful reading of the instruction book that came with your camera. Taking a class or two would also help a lit.

How much do you know about using a fully adjustable camera?

Indoors under low light, in order to get shutter speeds faster than 1/500th second, you will have to raise the ISO to around 3200 and set the white balance to match the lighting in the auditorium

Have you done that?

Better you just take a class in beginning photography than use the "try and fail" method you seem to be using

If the AF does not work well, you probably should use the manual focus, trying to focus where your object will be in 2 seconds.

To counter the blur, you have to use a shorter exposition time ( faster shutter ), for a walking person 1/100 sec should be enough.

Using shorter expo time, in low light you will have to open your aperture wide open and raise your ISO.
But high ISO causes noise, so try to get it only as high as needed.

I'm still a beginner and can't photograph very well in low light, but these are the basics.