Archival materials are primary sources, or material that contains firsthand accounts of events and that was created contemporaneous to those events or later recalled by an eyewitness, such as diaries or correspondence. By contrast secondary sources are works that are not based on direct observation of or evidence directly associated with the subject, but instead relies on sources of information, such as textbooks or history books.
The Society of American Archivists (SAA) has a useful guide to conducting archival research, called Using Archives: A Guide to Effective Research
For a good resource for understanding how archivists work, which can help you get the most out of your visit, see "How can you Help an Archivist to help you? Reference services from our side of the desk," by Samantha Thompson
Why isn’t everything digitized?
Use Secondary sources
Keep copious notes
Interrogate your sources (See below)
Archives and Libraries are not neutral
The Archivist and Librarian is your friend
These are some questions you should keep in mind when working with primary sources