Romans 8:16 (NKJV)
Being led by the Holy Spirit is a topic that every Christian needs to understand, this is one of the most important things the Holy Spirit will do for us. Too often we allow what we know in our mind and what we feel and experience to be the guiding forces in our life but God has given us His Spirit to live inside of us and give us direction. We can always start out by doing what we do know about God's will, this is what we find in the Bible, and we can then look to the witness of the Holy Spirit to go on to further specific steps in the will of God.
Many Christians know that we need to be led by the Holy Spirit, as it says in Romans 8:14, but they do not understand the witness of the Spirit that Paul was talking about in Romans 8:16. When it says that the Holy Spirit bears witness with our spirit it simply means that there is an agreement between the Holy Spirit and our spirit. The words "bears witness with" here literally mean "to testify jointly". It would be like two people testifying in a courtroom about something they saw, if both people tell the same thing then they are bearing witness with one another, this is the same thing as the witness of the Holy Spirit.
A very simple way to explain it is that when we have the witness of the Holy Spirit we will have peace in our spirit, in our heart; when there is no witness of the Spirit in our heart then there is no peace. If we were to go into some store and steal something, then in our own spirit we would not have peace because the Holy Spirit would not agree with us stealing something. If we learn to pay attention to and develop a sensitivity to the witness of the Holy Spirit, which is the main way the Holy Spirit will lead us, we will know what steps to take in the will of God and how to take them. We need to learn to recognize the witness of the Spirit in our spirit.