Primitives cannot be edited, although they can be moved, rotated and scaled.
However, you can Convert a primitive object to a polygon mesh object, and then you can edit it to your heart's content.
To do this, select the primitive, then choose Convert from the Modeling menu. Or you can use the Convert shortcut button on the far left of the Button bar, at the top left of your screen. In the dialog which opens, select the type of geometry you want to Convert to.
To edit a polygon mesh or a bezier object, select Edit Object from the Modeling menu, or click the "Edit" button at the top of the Tool palette.
This opens the Edit mode, with new editing tools taking the place of the regular tool palette. When you are finished editing your object, click the Edit button again to return to your regular modeling session/window.