Firstly, my advice is if you are relatively new to electronics/transformers/working with mains voltages, then don't do it - just buy a ready made 5VDC plug pack or a module that will achieve what you are wanting to do.
Anyway, warning out the way, here's the basic idea for a linear supply:
All normal transformers output AC, which then needs to be converted to DC for use in a typical circuit. There is no direct connection, a transformer works with changing magnetic fields, so DC is not an option.
If you want to end up with 5VDC then select the 6-0-6 (250mA) option. The 6-0-6 means the secondary will have a centre tap with 2 6VAC taps relative to this of opposite phase. This is better explained with a diagram:
Note the resistor marked "Rspice" is only for simulation purposes to keep SPICE from complaining, you don't want it in your circuit (you need to keep the secondary isolated from the primary)
L1, L2 and L3 represent your 230VAC in, 6VAC-0-6VAC out transformer.
Notice the input voltage is ~325V pk-pk, this is because AC voltage is generally given as an RMS (Root Mean Square) Value, which is the equivalent of a DC voltage of the same level. This is 0.707 times the peak to peak value, so 325V * 0.707 = 230V
This will work out the same for the 6VAC taps, they will be 6V * 1.414 = ~8.5V relative to the center tap, as you can see. The taps are 180 degrees out of phase with each other.
Turning this into 5VDC
First you need to rectify the 6VAC output. There are various ways to do this, but generally a full bridge rectifier is used. You can buy a ready made bridge rectifier as a single component designed to do this job (i.e. rolls D1-D4 into one package).
Using this and a large filter cap, we get something like this:
Again, note the resistor marked "Rspice" is only for simulation purposes, you don't want it in your circuit.
The top two red and green traces are the inputs to the regulators - you can see the rectifier + capacitor has converted the AC into DC with a slight ripple. The bottom plot is of the +5V and -5V outputs from the regulators.
The above has +5V and -5V rails, but you can just leave the negative side out if desired. The components are not suggestions, just picked from LTSpices library to suit. A decent LDO and some standard 1N400x diodes, plus a good quality filter cap or two (ideally rated for double the expected voltage across it) should work fine.
Just to mention again, I don;t recommend you try to build your own supply yet until you have done some more low voltage work and are extremely confident you have the required knowledge. Mains can kill instantly, so for the sake of waiting a little while longer and lessening the risk of mistake, I'd say that's the way to go at present.
Remember the above circuits are basic concepts, not fully designed supplies (e.g. there is no fuse or other protection present, notes on construction, recommended trace/wire thickness, clearance/creepage distances, etc. there is a lot to consider in order to make even a simply mains supply safe)