Might I ask a couple of questions? Why do you want to wrap your horses legs? Any particular reason that you want to use polo wraps specifically? Have you even used a polo wrap before/wrapped a horses leg?
I always wrap atleast my horse's front legs. It's just a safeguard against injury, like shin splints, or strains and sprains. Especially with young horses, it is a wise choice to get them used to wrapping. Alot of people will tell you that it will weaken the horse's legs, but considering they are only wrapped for an hour or two, compared to being unwrapped, 22 hours a day and they will do all kinds of moving about in that time? I don't really believe that myth too much. I just like to know that when I am working with him, that his legs have a bit of protection there.
As far as how to wrap, you will start at the middle of his cannon, and wrap down the leg and back up to the knee. You want to wrap it fairly snug, but not so that it will be cutting off circulation; you just don't want the wrap to loosen or start falling down the leg, as that is counterproductive to wrapping.
Generally you don't wrap the knee itself. If the horse does have some sort of knee injury, there are different types of knee wraps available for that.
Wrapping is a really delicate thing. It is best if you practice with someone who knows how to wrap correctly and can help you out until you get the tecnique down pat. The tension is extremely important, and any "bunching" or excess tension in the wrong places can create pressure points that can injure the horse. I do occasionally wrap my horses, and it's a valuable skill to have (think vet wrapping and bandaging a cut on your horse's leg), but for protection during riding or lunging, I go for a splint boot or support boot. They're just easier to handle and less uncertain.