The classical Fourier Analysis has been developed in an almost unbelieved way from the first fundamental discoveries by name Fourier. Especially a number of wonderful results have been proved and new directions of such research has been developed e.g. concerning Wavelets Theory, Gabor theory, Time-Frequency Analysis, Fast Fourier Transform, Abstract Harmonic Analysis, etc. One important reason for this is that this development is not only important for improving the "State of the art", but also for its importance in other areas of mathematics and also for several applications (e.g. theory of signal transmission, multiplexing, filtering, image enhancement, coding theory, digital signal processing and pattern recognition.)The classical theory of Fourier series deals with decomposition of a function into sinusoidal waves. Unlike these continuous waves the Vilenkin (Walsh) functions are rectangular waves. The development of the theory of Vilenkin-Fourier series has been strongly influenced by the classical theory of trigonometric series. Because of this it is inevitable to compare results of Vilenkin series to those on trigonometric series. There are many similarities between these theories, but there exist differences also. Much of these can be explained by modern abstract harmonic analysis, which studies orthonormal systems from the point of view of the structure of a topological group.