In CS3, select your object. In the Properties pane, use the Fill category drop-down to select Gradient, then one of the gradient types. Then, click that drop-down again and select Fill Options.... From there, this image shows how to select colors (the paint chips below the gradient). To add other colors to your gradient, simply click to add a new paint chip. To set the opacity, use chips above the gradient.

Use the selection tool (standard arrow) and select your object again. On your object, you'll have a line with a circle at one end and a square at the other. These two determine the positioning of your gradient.The circle determines the start of the gradient and the square determines its extent and direction. I find it easier to click and drag on the square, before moving the circle, myself.