Pretty much all the basics including what you have mentioned in this post are explained in videos that are actually included in GameGuru, open up GameGuru and look at the menu bar at the top, there is a menu option called video tutorials, click that and a drop down list will appear with a list of tutorials, these will show you the basics, the last option "GameGuru Development Broadcasts" is a link to a list of 57 videos that were originally broadcast live, if it's not in the other tutorials then it will be in the broadcasts.
As to the specific one you mentioned
"cover zones" that's a zone marker you are supposed to place behind an object, then if you use the ai soldier cover script on soldiers they will run and hide in those spots while fighting, unfortunately it's broken at the moment so you can just ignore them.
"White, Red, Green, Bule lights" not sure what you want explaining here they're exactly what they say they are, lights of different colours, you drop them in your map and the area they're in is illuminated using the colour of light specified. You can change their colour and their radius in the properties panel.
"Win Zone" it's just that, you drop it into the map and when you walk into it, you win the game, if you have a second level then you add the name of the level into the ifused field in its properties (just the name, not the file extension, so if your second level is called level2.fpm then you would enter level2), and in standalone (it only gives you a message about jumping to level in test mode) it will load the next level, if you leave it blank then in standalone the game ends and goes back to the menus etc.
"checkpoints" again, the clue is in the name, you drop one of these and when you walk through it in the game it saves your position so when you die you respawn at the last one you walked through.
None of it's rocket science, most of it's very self explanatory, the rest is mostly in the videos provided, anything else then just post here asking about specifics and someone should be able to help out
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