The taste is almost identical to chicken. You will be hard-pressed to notice a difference. So, just think of them as small, individual servings of chicken.
The easiest way to cook them is to roast them. Rub the inside and outside with salt & pepper. Maybe a little onion powder and garlic powder too, if you like. Brush them with olive oil. Put them in a shallow pan in a preheated oven, and roast until cooked through. Use a thermometer to tell when the thigh is at 165F. That's all there is to it.
How hot for the oven and how long to cook? It depends on what else you're cooking. There are a million answers. If you are baking a potato with it, and you want your oven at 400F, get the potato started first, then add the chicken after a bit (also depending on the size of the potato). At 400, the hen will cook in 45 minutes to 1 hour. At 350, it will take a little longer, maybe 60-75 minutes. Just use your thermometer. (Or, the old fashioned way is to make sure the juices run clear when you pierce the skin near the thigh joint and the leg wiggles freely when you grab the ankle and wiggle it.)
Once you know how to cook it, then you can experiment with stuffing it, spatchcocking it, putting things under the skin, etc. But the basic is just season it and roast it whole. It's sooooo good.