Thanks for your question! "Do" is the general word for "of/about" in sentences. "Se" can be used in sentences as well, but this is fairly uncommon.

The main purpose of "se" is to form compound words. This means taking two words and combining them to mean "____ of _____". For example, you could take "Qeth", "bone", and "Gol", "earth", and make "Qethsegol", the word for "stone". It literally means "bone of the earth". Another example is the Dovah name for Whiterun, "Ahrolsedovah". This means "Hill of the Dragon".

Compound words aren't just for names or terms, they can be used in sentences too. This is from part of the speech that the Greybeards make when officially naming you Dragonborn:

Naal suleyk do Kaan, naal suleyk do Shor, ahrk naal suleyk do Atmorasewuth.

This means:

By the power of Kyne, by the power of Shor, and by the power of Atmora of Old.

This is a great example because you can see both "do" and "se" being used to do the same thing. They decided to separate "power of Kyne" and "power of Shor" into "suleyk do Kaan" and "suleyk do Shor" when they could have made "Suleyksekaan" and "Suleykseshor". But, they made "Atmora of Old" into "Atmorasewuth" instead of "Atmora do wuth".

For further reading on compound words, check out page 13 of this gudie:

http://www.thuum.org/assets/Learning%20Dovahzul.pdf