There are many different stats packages out there that will help you understand how visitors find your site and what they do when they are on it. Google Analytics is by far the most popular stats package and best of all it is free to use.
When you have your website set up on Google Analytics you can start to track the progress of a visitor through your site. You can find out how they found you, which page they landed on first and where they went from there onwards. You can also see how long they spent on one page. If you find that people are not spending very long on a page then leaving the site altogether it may be that you are attracting visitors that are looking for something you do not sell or offer or that your site is too hard for them to navigate round.