Assuming that you already have the basic idea on the parts and pin assignments of Arduino, you can now skip reading about them on this page.
Step 1: What You Need?
2) USB Printer Cable - Any USB printer cable you have at home.
3) LED - I used RGB LED.
4) PC with USB port - Any PC with USB Port. Preferably, PC with MAC OSX, Windows and Linus Operating System.
Step 2: Getting Started
2) Connect your Arduino to your PC via the USB port.
3) Connect your LED's Anode (+) longer pin to PIN 13 (Ideally pin number 13 because of the resistor connected to it) and the Cathode (-) shorter pin to the ground (GND).
Step 3: Downloading Software
2) Choose the appropriate download based on your operating system.
3) Extract files on your target folder.
Step 4: Uploading Codes
2) Copy codes.
3) Paste your codes on Arduino application.
4) Select the model of your Arduino. I chose "Arduino Diecimila or Duemilanove w/ ATmega168.
5) Select appropriate serial port.
6) Upload program.
7) Wait until it prompts that the writing is DONE.
8) Once the writing is done, check on the LED if it works accordingly to your written program.