You can dowload the Arduino software from the community web site:

http://www.arduino.cc/en/Main/Software

The software is available for Windows, Linux and Macs. To set up on a Mac, follow this guide:

http://www.arduino.cc/en/Guide/MacOSX

Then you can get an idea of what to do first:

http://www.arduino.cc/en/Tutorial/Sketch

http://www.ladyada.net/learn/arduino/