Canceling basically means to stop one move and make another one go off in sequence.
If you walk up and do a FP up close, you can stop it at the point of contact (cancel) and perform a special move instead of the rest of the FP animation.
Basicaly, get close, throw out a lk, and have the chicken wing motion done and hit your kick butto0n to perform the chicken wing right as the lk is connecting.
SF4 is actually a very good game to learn the technique, because the input windows have been lengthened in comparison to previous SF games, meaning that you have a bigger window of time to do the motion.
You should first practice with easy quarter circle motions to get the concept down, and then graduate to harder things.