Jeanne,
Make sure to check out
this tutorial on how to create your own masks in PSE. It should work in PSE4 also but I haven't tried is out yet.
If you'd like to do this technique with one of the greyscale masks you've found online you could bring the greyscale mask in as "layer 2" in the tutorial. Once the layers are grouped you can still move around the photo or the mask to adjust what is showing.
The Burn, Dodge and Sponge tools are grouped together in the toolbox in PSE3. I have my toolbox set up vertically so that the move tool and the magnifying glass are at the top and the foreground and background colors are at the bottom. Then the Burn/dodge tool is just above the foreground/background colors on the right. If you're still having troubles finding burn/dodge just hit the
O key and one them will automatically open.
HTH and holler if you need more help!