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First: you can't set parameters on brushes, if you try to: they will end up in the "worldspawn" entity ( where you configure things like fog and sunlight levels ).
To set parameters on an enity ( like a script_object or a func_rotatingdoor ) you select the object ( or objects ) and press 'N' on your keyboard ( Or select: "View -> Toggle -> Entity view" from the menu ) to pop up a dialog named "Entity".
Img: entity_dialog.gif
Now: in the box beneth the checkboxes are all parameters currently set on the entity ( execpt the classname, that is just the name of the class that the entity belongs to ). If you just created the entity it will only contain its classname.
OK: lets set the commonly used targetname parameter to my_first_entity... just below the box with the parameters there are two textboxes labeld "Key" and "Value". Write targetnamein the "Key:" textbox, and my_first_entity in the "Value" textbox and press enter with the cursor is still in the "Value" textbox.
If all went well, you should now have the targetname / my_first_entity parameter in the box at this stage.
Congratulations!
- Bjarne