Now the Holy Spirit is not some 'Christian creation', in case you're feeling cynical about the whole thing.
He's always been around. In fact there are about 100 mentions of him in the Hebrew Scriptures, the Old Testament. Right at the beginning, in the Story of Creation, we read "Now the earth was formless and empty, darkness was over the surface of the deep, and the Spirit of God was hovering over the waters."
We also read, in the Book of Job, "The Spirit of God has made me; the breath of the Almighty gives me life."
Also, in Psalm 104,"When you send your Spirit, they are created, and you renew the face of the earth."
So he participated in the creation of the world. He was also behind the writing of the scriptures, both Old and New. It was through his efforts that we can say that the scriptures are 'from the mouth of God'. We read in Peter's second letter, in the New Testament, "for prophecy never had its origin in the will of man, but men spoke from God as they were carried along by the Holy Spirit."
We also read this in the Old Testament. The prophet Samuel says,"The Spirit of the LORD spoke through me; his word was on my tongue." It is through the work of the Holy Spirit that God does his work on us, once we become a believer in Jesus. His aim is to make us more and more like Jesus, the perfect sinless man. This doesn't mean that we become sinless, though it does mean that we become more conscious of our sins. Becoming a believer doesn't stop us from sinning, there's always going to be enough of our old nature present to throw the odd spanner in the works.
It's not easy, it's often a struggle, but, ultimately, it is worth it! The best way to illuminate what actually happens is to see the work of God reflected in the life of others. In the church that I attend in the East End of London I have met ex-drug barons, ex-drug addicts, ex-terrorists and ex-thugs. I have also met ex-occasional-petty-pilferers, ex-flirts and ex-booze-merchants. Everyone's an ex-something-or-other. The job is to keep these things as an 'ex-' and, with God's help, you surely will.
God can cure lifelong habits, sometimes by just 'snapping his fingers', other times through getting you through your therapy sessions. He can cure you of your need for cigarettes, alcohol, drugs, extramarital sex. He can do this, not just because he can do everything, but because he wants you to be free of these burdens.
I've been a believer for over twelve years. In that time I've known both ups and downs. But, whether I am riding on the crest of a wave or in the deepest trough of adversity, I am always strengthened by the sure knowledge that I am a child of God and that he would never leave me. He rejoices when I rejoice and sustains me when I grieve. In that time I've experienced my share of rejections (including redundancy), failure, money problems, bereavement, frustration and general tzuris.
But I've also seen God's hand in every situation, teaching me patience and perseverance, ticking me off for my pride and selfishness, but never deserting me or leaving me languishing in the various pits that I've dug for myself on the odd occasion.