Buffer overflow exploits are commonly found problems which can cause irrevocable damage to a system if taken advantage of. The only way to prevent them is to be careful about coding practices and bounds check to make sure no kind of input, stream, file, command, encryption key, or otherwise can be used to overwrite a buffer past bounds. The problem with this is that many libraries, programs, and operating systems used by programmers already have many of these exploits in them, making prevention difficult if not impossible.
That being said, here is kind of how it works (all examples run in Windows XP using gdb):
The files used for exploit are named vulnerable_code (courtesy of Dr. Richard Brooks from Clemson University) and they can be found here:
http://code.google.com/p/stevenhickson-code/source/browse/#svn%2Ftrunk%2FBufferOverflow
The link above also includes all the assembly files used to create shellcode, nasm to assemble it, and arwin to find the memory locations. It should have everything you need.
Note: Bear in mind that the memory locations will probably be different for you and you will have to find them yourself (probably by writing AAAA over and over again in memory).
IMPORTANT:
This tutorial is used for explanation and education only. Do not copy my examples and turn them in for a class. You will get caught and get in trouble and you wont learn anything and I will program a helicopter to hunt you down autonomously as revenge. 
