Most of those tools on the page are purpose built tools that do a specific thing.
For a beginner, you probably want to initially use utilities that'll scan for a broad range of common vulnerabilities like IBM's App Scann or Web Inspect. Then drill down deeper with other tools based on warnings you see coming from those tools.
Those tools may not point out the exact bug, but they'll recognize based on responses what potential vulnerabilities might be possible. For example.. if the tool fills out some quoted string and the rest of the page from the form field doesn't display, it might warn you have a possible XSS attack. Or say it injects a SQL statement and was able to detect a table name in the source it might give you a warning an SQL injection is possible. Keep in mind that the tool is not a hacker. It'll just scan using common attack signatures and has no actual knowledge of the internal workings of your application. So say you have a backdoor that needs a specific parameter to be set, a simple app scan will not find that.
In reality, I wouldn't recommend anyone without a security background to do specific penetration testing. Unless you have been formally educated in computer security, and regularly attend security conferences to keep up to date of the latest techniques, it's best to just do routine basic scans and leave the specific penetration testing to a specialist to avoid a false sense of security.