How much tax should I have withheld from my W-4?

I just got a job paying 9.50 an hour for 15 hours a week and chose to have the most tax withheld possible from my paycheck. There were three options: least withheld, more withheld, and most withheld. The least withheld option had a tax exemption part to it but I didn't understand it. Should I have withheld the most tax, or the least? Do I even have to file a tax return? and if not, should I have tried to be exempt from taxation? please explain. thank you