There is documentation included with JMP that goes over Modeling and multivariate Methods. Go to the Help menu, select Books. Also, opening up the Multivariate command and hitting help will give a brief explanation.
If you want to save a correlation matrix to a JMP table, you can use the "make into data table command". Use the following example as a starting point.
mv = Data Table ("My Data Table")<< Multivariate (....)