One of the best tutorials for new VHDL developers is the short tutorial "Intro to Spartan 3E FPGA and VHDL, by Mike Field. You can download the PDF and all the source code from his GitHub account, or browse the chapters for the book on his website.
You'll go from a simple Hello World equivalent in FPGA, to using DCMs and generating VGA signals, in a matter of hours.
Mike uses both Papilio One and Digilent Basys2 boards in the book, but you can easily adapt the examples to any board you're using. You just need to adjust the UCF file accordingly. The fact that he's using Spartan-3 and you're using Spartan-6 shouldn't make any difference.
The UCF, or User Constraints File, is the file that tells your FPGA its connections to the external world. The UCF is highly dependent on your particular hardware, as each board has a different set of pins. You're probably using a board provided by one of the popular manufacturers, so you just have to check the documentation for your particular hardware.
After finding the original UCF file for your particular board, it's recommended that you delete all lines that you're not using (meaning: all nodes that are not connected to anything within your vhdl code), otherwise the compiler will raise warnings or errors.
This should be enough to get you started.
ps: if you don't have any specific reason to use MicroBlaze, you can safely ignore it for now.