It's impossible to follow God unless we are led by the Spirit. And the only way to be led by the Spirit is to follow God's command to be filled by the Spirit (Ephesians 5:18). Interestingly, God contrasts being filled with the Spirit with being drunk. Somebody who is drunk with wine or alcohol is controlled by and consumed by alcohol. But somebody who is "drunk in the Spirit" is controlled and consumed by the Spirit, who helps us live holy lives.
The Holy Spirit entered you when you decided to give your life to Christ, to become a Christian. But we need to continually ask the Holy Spirit to lead us, to guide us, to help us do the things God wants us to do. When we're growing as Christians, we should allow the Spirit to take control over more and more areas of our lives.
The Holy Spirit plays many roles. You can read about some of them in these passages: John 14:15-27, John 16:5-15, Romans 8:1-17, Galatians 5:16-26.
In John 14, for example, Jesus says the Holy Spirit will comfort us when we're hurting. "I will not leave you as orphans," Jesus says (14:18), promising that the Spirit will bring us peace (14:27).
Jesus also says the Spirit will help us recall the things we've learned about God (14:26)—which also means the Spirit will help us when we tell others about our faith.
In John 16, Jesus refers to the Spirit as a "Counselor" who will guide us in our everyday lives. One way he'll guide us is by convicting us of sin (16:8). And this is really a good thing: God wants us to get rid of the things that displease him, and the only way to identify those things is to be convicted by the Spirit. The Spirit works through our conscience to make us aware of sin in our lives.