[HTC EVO 3D] sidepart:
In some uncertain terms, S-OFF allows you to obtain root. Imagine root is like the administrator account on your Windows PC (i.e. when you right-click and "run as administrator" you're running a program as "root"). Root of course is the linux user name for the admin, head honcho, whatever. If you had S-ON, your phone would see that you're trying to up your lowly status from user to root, and stop you like a ton of bricks. Or if you managed to hack your phone and circumvent it, s-on would find out and **** you and your children up. (or just take away your root).

Anyway, you need to do 3 steps here to fully modify your phone.

1. Obtain S-OFF

2. Flash a custom recovery, because the default one sucks and doesn't let you do stuff.

3. Install a program that allows you to manage and grant superuser (root) access to programs that require it (such as wifi-tether).

You're on step 2.

You'll need the following. The android-sdk and also a recovery to flash. You can google the android-sdk. The newer one has made things a little complicated, so I will try to walk through that.

When you obtain and install the android-sdk, you'll need to download the platform tools for it. So start the SDK Manager.exe. It'll pop up with some "choose packages to install". Cancel that crap. Click on 'Available Packages' and expand 'Android repository' and select 'Android SDK Platform-tools, revision 6'. This will install ADB, which you may have used in the past.

Power off your phone (pull battery). Hold down the volume rocker and press power button. It should load into a white screen. From that white screen you can scroll down and select 'fastboot' with the power button. Fast boot is how we're going to flash a recovery, in this case TWRP. Get it here: http://xdaforums.com/showthread.php?t=1192077

Throw that img file into your android-sdk\platform-tools directory.

Open up a command prompt and CD to your android-sdk\platform-tools directory.

You can flash the new recovery by entering the following command:

..\tools\fastboot.exe flash recovery recovery-twrp-shooter-1.0.0.img

What you're doing is running fastboot.exe (which is located in the android-sdk\tools directory, but requires and adb dll file located in platform-tools, hence the topsy turvery method here. You're telling it to flash a new recovery image, and then you're telling it where on your computer that image is.

Once it's done, you can reboot your phone, and now you have recovery. Next you'll need to obtain a super user program so you'll have root. People generally use, 'superuser'. I think the easiest way to grab this is to just download it's zip to your phone and flash it in recovery. Grab the zip for flashing from here.

You should be s-off'd, have a recovery and rooted by now. As a disclaimer, I assume no responsibility if this screws up your phone.

EDIT:

To answer some of your other concerns. You'll want to backup prior to flashing any ROMs. You won't really be able to backup anything of value prior to flashing recovery. If you need to return to stock there are RUU ROMS on the developer forum. If you flash that in recovery, you'll lose root (and I think s-off) and be cast into the world of yesterday. If you're still concerned at this point, I would refrain from attempting to root your phone and maybe have a buddy do it.