To learn various hemstitching techniques, visit these websites:

An Edge An Hour #3
From Needlemaid Designs
Complete directions in Acrobat format.

Hemstitch
Classic Stitches website.
You need to register for this website to access some of the information.

Needleroll Finishing Instructions from Jill
Look toward the bottom of the page.

Alternative Windows
Basic Sewing Techniques: Types of Stitches
I think this version is more for sewing than for embroidery