slimjim, 3 sets of 3x500 means you are doing the 500m fast 9 times. after you have run 3 of them you take a longer recovery and then repeat 3 more times with shorter recovery, so basically every 3 rd fast bit you have a longer recovery.
You could walk, jog, run very slowly for recovery, main thing is to keep moving.
hope this helps and good luck.