You can find complete directions for installing and using the Arduino software in the Official Getting Started Guide. It is important to read and follow all the instructions as they are written. This is particularly true for computers running a Windows operating system.
All programs you write for Arduino will be written in the Arduino IDE. One thing to know about Arduino is that programs are not called programs. They are called sketches. This will be true in any of the reference material you find online, including in this course.
One last thing to note, it is never a bad idea when you are having difficulty communicating between the computer and the Arduino to check both the Board and Port in the Tools menu. Often one or both of these will become unchecked and you will have to select the correct option before you'll be able to send any new sketches to your board.