Tightening that screw sets the tolerance between the screw and worm gears. You can often tighten it similar to how Ranchero mentioned, but rather just until it offers some resistance and then back it off about a quarter to a half turn. The issue you'll find doing it this way is that typically most of the wear these parts will see is from when you're driving straight down the road (the steering wheel is centered 95% of the time), so by doing it this way you "may" find it gets too tight (hard to turn) once you're past center. The best way to get around this is to do the adjustment I mentioned when the steering wheel is turned about one full turn past center. If you then find the slop is just unbearable while driving straight, the screw or worm drive are shot in their centered position and a rebuild is in order.

There are two functions on a car I place equally at the top of my list of things to HAVE RIGHT: Steering and Brakes. Don't cheap out on either of these... ever. (This safety announcment brought to you courtesy of Gerber Baby Foods)

Hope that helps.