In order to start writing code for your Arduino board you need to download Arduino Development Environment (IDE). This piece of software contains a text editor for code writing, a series of function buttons and menus. This software is able to communicate and upload programs to the Arduino hardware.
Sketches are the programs that written for Arduino hardware. All sketches are save in the .ino file extension (versions of the IDE prior to 1.0 saved sketches with the extension .pde). The Arduino IDE is similar to any text editor that supports text copy, cut, paste, search and replace. There is a console or message are at the button of the window, it will display error messages, sketches upload status and etc.
There are 6 buttons in the Arduino IDE. The 1st button is the verify button, it will verify and check your code for errors. The 2nd button is the upload button, it is used to compile and upload your code into the Arduino micro-contoller. The 3rd button is the new button, it will create an empty new sketch when pressed. The 4th button is to open a previous saved sketch. The 5th button is to save the existing sketch. The last button, Serial Monitor is used to display the data that send from Arduino board back to the computer via the serial port or USB.
You can download the latest version of the development environment from the Arduino official website. There are Windows, Mac OSX and both Linux (32/64 bits) version.