Actually, I agree with Luca here. The best option is to use minimal.cfg, where most all of your configurations are consolidated into one file. It's usually the easiest way for a newbie to go.
I would go into Nagios.cfg and comment out the cfg_file= entries pertaining to misccommands.cfg, checkcommands.cfg, hosts.cfg, etc. Work with just the minimal.cfg file until you can get it working properly.
NOTE: Look at your minimal.cfg file carefully to see which of the other .cfg files you should comment out. Commenting out resource.cfg in your nagios.cfg file, for example, would be bad, as minimal.cfg does not contain the information specified in resource.cfg, if I remember correctly.