Hey Sponge and boingk,
A mash is basically a controlled steep for at least an hour. The temperature is important, as it determines how the enzymes convert the starch into fermentable or non-fermantable sugars. At the low end (63deg) you will get mainly fermentable sugars, and and up with a crisp, dry beer. At the upper end (70deg) you will get more non-fermentable sugars, and end up with a sweeter, more full-bodied beer.
Certain grains require a mash to convert the starch to sugars. Other grains only require a steep for 15-20 minutes in 70deg water to help disolve the already-present sugars from the grain.
Craftbrewer website lists many different grains, and also indicates which ones require a mash or a steep. Very useful info I reckon.
So you would replace some of the malt extract with appropriate grain, and extract the sugars using either a steep or mini-mash, depending on the grain used. There is nothing wrong with mashing grains that only require a steep, it just takes a little longer.
A simple method to "mini-mash" is to heat your water on the stove to around 73 degrees (a good thermometer helps here), turn off the heat, add your grain and stir it in. The sloppy porridge will have a temperature around 67 deg. Place the pot in an oven pre-heated to 70deg, and leave there for an hour. Very simple!
After this you rinse the liquor from the grain (sparge) with more water around 75degrees, to extract the sweet liquid from your grains.
There is plenty of good info here on mini-mashing if you plan to go down this path. Palmer's book is a great place to start
link.
Enjoy the fun of mashing - and making your house smell like a brewery!!!