[raymo]

I have to assume that you are referring to the silver screw either on the bottom or the top of the focuser. It is a lock screw, and must be left
loose when focusing. It only needs nipping up when you want to prevent the weight of a large heavy eyepiece, or a camera, from causing the focuser to move thus losing focus. Just pop any eyepiece all the way in and focus as necessary. If the focuser starts to slip, there are four screws on the bottom of the focuser that can be nipped up a little. When you change eyepieces you have to refocus, unless as Paul said, you have what are known as parfocal ones.
Takes seconds to refocus, just turn the focuser in the direction that makes the doughnut smaller, and keep going until the object is sharp.
Did you sort out the finder focusing?
It just occurred to me that you might be referring to the smaller silver wheel on the end of the focuser shaft. If so, you have a dual speed focuser, and
the small wheel is geared down by a factor of 10, which makes fine focusing easier.
raymo