At the simplest level Effects in PremierePro are most frequently used in transitions from one part of a sequence to another. The Effects tab is located in the Project panel, (lower left of workspace), next to Media Browser tab. Once you click on Effects, a menu appears, behind which are further menus, providing many variations of effect. You can create a default effect which can then easily be applied to the entire show. The default effect setting is a cross dissolve. To apply a default effect hover your cursor over the edit point, (playhead), and control or right click it. From the drop down menu choose apply default transition. You can view in the result in the Program monitor above.
You can also apply transitions by choosing one from the drop down menu below the Effects tab, clicking and dragging it over to the Timeline, dropping it in a separate video track above the point in the sequence where you want it to appear. To change the duration of an effect, click the edge of the box naming the effect in the track. The cursor will change to a red bracket, which allows you to drag the edge of the box to the size you want.
To delete a transition you first must select it. It's easier to do if you press the plus key to zoom in to the Timeline, then use the up and down keys to pinpoint the location of the Effect. Being sure you're using the selection tool, (top arrow shaped tool in vertical tool bar at left) then click on the effect. You can then delete or drag and drop a different effect on top of it.