A water pressure gauge is important to understand. If the pressure is too low, you won't get any heat. If it's too high, you risk a dangerous explosion. You should become aware of how to read the gauge if you need to troubleshoot it ever.
Step 1 - Find the Manufacturers Ratings
All boilers will have ratings set by the manufacturer. These can be found on a panel on the boiler itself. In most cases, this is a small metal plate with the information stamped in so that it can't fade away with time. You should check it for the maximum working water pressure. This is commonly abbreviated, so you can also look for MAWP.
Step 2 - Look at the Gauge
The gauge will have a dial with a needle on it. The needle will be sitting on a number that represents PSI (pounds per square inch). Your reading should be a few PSI under the MAWP. For instance, if your boiler has an MAWP of 30, the gauge should read somewhere right around 27 PSI.
Step 3 - When There's a Problem
If the PSI is registering above the MAWP, you should immediately leave the area and contact a licensed plumber. Boilers explode from high pressure, and you don't want to make the situation worse by tinkering with any of the valves.