Steve!
Welcome to a great hobby!
The buttons on your scanner (you did not state the make or model) however are 
rather generic to most manufacturers.
L/OUT is lock out. When you program in a series of frequencies, this will 
allow you to 'by-pass' a particular channel with out having to de-program 
that channel.
DELAY is just as it states. When you program the delay into a channel, when 
the transmission ceases, the scanner will 'delay' a preprogrammed period of 
time until it resumes scanning. This will allow an opportunity for a reply 
transmission before the scanner leaves that channel.
PRI is priority. Depending on the make of scanner, either channel 1 or a 
channel so designated, the scanner will routinely check back to the priority 
channel for activity.
As for the legalities, I am not familiar with your particular state. For 
local laws and frequencies, see your local radio shack dealer. They would 
know about your area and the also have different publications   that list all 
sorts of frequencies.
I hope this helps! Good luck and have fun!
john kc5gmm
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