In a nut shell the first number xxW is how the oil flows when it's cold. I believe the test is at 32f hense the "W" for winter. The second number -xx is a rating of how it flows at operating temp.(once the oil is fully heated up) So a 5W will be thicker (slower to flow) than 0W oil. Once the oil gets up to temp. a -40 will be thicker than a -30 oil. The ideal weight for your car depends on the outside temp. I have found that most European cars say DO NOT use 5W-30 if the outside temp is above 60 degs. Look at the table in your owner's manual, it will show what weight oil should be used for specific temp. ranges. Porsches come from the factory with 0W-40, which is the best of both worlds. The oil flows really fast when it's cold at start up and gets thicker as it warms up, to a rating of 40, for the best protection.
I hope this clears it up a little for you.
1994 MB E320 Coupe (199,500 mi)
1992 MB 190E 2.6 (173,000 mi)
1983 Porsche 911SC (148,000 mi)
2004 Volvo V70 2.5T (198,000 mi)
President of CT/Westchester Section