Probiotics are fascinating and new research is coming out every day about their benefits.  A great research tool is http://www.ncbi.nlm.nih.gov/pubmed/ - you can search for scientific studies on probiotics and learn a bit more about why probiotics are so beneficial.

A few conditions where supplementing with probiotics has been shown to help include antibiotic-induced diarrhea, candida (yeast), bacterial vaginosis, IBS, constipation and immune health.

You asked how probiotics affect the immune system.  Certain probiotic strains have been shown to increase levels of certain antibodies such as IgA and IgG; what this means is that probiotics essentially stimulate the immune system to fight harmful bacteria, viruses and other pathogens.  Other probiotics have been shown to stimulate the production of white blood cells.  Exactly how this happens is not completely understood, but the conclusion is that probiotics naturally found in fermented foods and now available in supplemental form can be a great tool to maintain good health.

You can start with a lower dose probiotic, look for 12-15 billion CFUs per capsule and then eventually move up to a higher dose if needed.  You mentioned having yeast issues, so you may want to look into the Ultimate Flora Vaginal Support.  This formula is high dose at 50 Billion CFU but is a great maintenance probiotic for women who tend to have yeast issues.

Check out the full line of probiotic formulas on our website.  Opting for a lower dose is fine, consistantly taking the probiotics is what really helps with general health.

Good luck!