Psalm 3 is the first actual prayer in The Psalms. It’s a simple cry for help by a soul overwhelmed with guilt and the consequences of mistakes made. Since the header tells the historical background, it’s interesting to go back to 2 Samuel 14-16 and read the events surrounding this Psalm. You could do that to help you lead, or do it in class. The fact that he’s running for his life after a series of huge failures is significant to understanding the cry of the Psalm.
Where does David go when he has shamed the name of God? To God. Maybe that’s all we need to know about this Psalm. It kind says everything. Like when Peter had denied Jesus, and yet jumps off the boat and swims toward Jesus on the shore.
BTW, Selah is an interjection in a lot of the Psalms that is roughly equivalent to “Let that sink in.”