Non-computationally-intensive analyses can be run on your personal desktop or laptop computer. But for computationally intensive analyses (read: fMRI data), you'll need to run them to the cluster. (Not sure what a cluster is? Click here.)
This tutorial explains more in depth about how the Discovery works, and how to connect with it. You can find more handy tutorials on that website as well. Research computing also sometimes holds intro classes on using the Cluster; you can look out for them on their calendar.
For cluster questions, John Hudson is our go-to person. He and other members of the Cluster team can help you debug, optimize, and parallelize your code.