How Do Telescope Lens Work And What Are The Different Magnifications?

I have just come into possession of a used Telescope and am having trouble figuring out how it works. I have it assembled but can't see anything through the eyepieces that were provided. there are 3 (25mm, 4mm, 2.5mm) and since it is winter the skies are cloudy and I can't tell which lens is stronger so any info would be appreciated.

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