This is an article i found in http://europaukblog.blogspot.com/2007/08/hello-everyone-on-this-lovely-summers.html.... it is being presented as is... enjoy... don't forget to visit the blog... for more useful tips...
Hello everyone on this lovely Summer’s day. This evening, in a wine-soaked stupor, I’m going to be taking a look at one of InDesign’s most powerful and juiciest features. Nested styles appeared back in InDesign CS2 and I, for one, was excited by the possibilities of being able to nominate character styles to appear in any order or position in a paragraph. But then that's the kind of guy I am...
The following exercise is a real-world problem that I had to find a solution to a couple of years ago while working for a fairly big-name magazine in London. What the designers wanted was to have a paragraph style that began and ended with one line of a particular character style. At the time we were using QuarkXpress (sshhhssshhh!), which meant that we were had no choice but to manually apply character styles in a kind of hit-and-miss manner until we achieved the results we wanted. It worked – after a fashion – but InDesign, naturally, presents the more elegant solution. Read on...
1. For this exercise I’ve created a very simple A4 page with a two-column grid.

2. The next step is to create an equally basic body copy style. In this case I’ve named it ‘body copy’. No prizes for originality.

3. Now create a character style. In this case I’ve called it ‘ Red Intro’. It’s a very simple 12pt Arial Black, coloured red.

4. Next you have to create another character style that is identical to the ‘Body copy’ paragraph style. I’ve unimaginatively named it ‘body copy’. I hope that this isn’t confusing you.

5. Now we create a nested style. Alt-click the new button in the paragraph styles palette and head over to the Drop caps and nested styles pane. What I’ve basically created here is a ‘Red Intro’ sandwich.
In other words I have the ‘Red Intro’ character style applied to the next End Nested Style character; this is followed by the body copy character style applied to the next anything (it really doesn’t matter what you apply this to because you’re not really going to apply it, if you see what I mean). Finally, I have the ‘ Red Intro’ character style applied to another End Nested Style character.

6. The end result of this is that once you’ve applied the character style you only need to go to the Type menu and choose Type> Insert Special Character> Other> End Nested Style Here where you want the first ‘Red Intro’ style to end. And then you choose the same command at the place you want the Body Copy Style to end. And if you’ve done it correctly, this is what you get:
