This video shows you how to work with the Abobe's layers pallet.

In Illustrator, a layer consists for many objects as you can see when you click on the expansion triangle to open up your layer.  By selecting elements on the artboard, you will see which object in the layer pallette is selected by indication of the double-ring circle and the color selection box.  Alternatively, if you click on the double-ring circle (or doughnut) in the layers pallette, you will be selecting the elements in the artboard.  This is handy because you can select multiple elements by shift-clicking the various doughnuts in the layers pallete.

Note that each object in the layers pallete also has it own visibility toggle and lock toggle.

The video also goes to show you how to create a new layer and moving objects into this new layer.  It also show you how to group objects as well as "isolation mode".