1. Policy is created with detection rules which are established to tell DLP what is confidential/sensitive and what is not (e.g type of documents, keywords, ...)
2. You create a response rule for this policy: a response rule basically is triggered when number 1. occurs and is pre configured to allow/block/notify actions. For instance, you can say DLP that everytime it find this document leaving the company to a removable storage the action will be blocked and if the print action is attempted the end-user gets an alert information the document has confidential data but he can continue with the actions.
You should have a look at the admin guide.
BR,