Usually If you don't have a shield you can do a breadboard version to program the ATtiny. (Step1)
But here I'll show you how to program it and with a couple of components make a nice shield for the arduino, which makes programming much easier!
For more information on how to program the ATtiny click on: MIT High-Low Tech web page.
Hopefully you will be familiarized with the arduino environment, if not more info at Arduino.cc
And still, it's quite easy to set everything up.
Step 1: Materials
X1 3mm Red LED
X1 3mm Green LED
X1 10uf 50V electrolytic capacitor
X1 8-pin 0.3" socket
X1 SPST tactile switch
X1 220 ohm resistor
X2 Male pin headers
X2 4-pin female sockets
X1 ATtiny 45 or 85
Things you might all ready have and will be needed:
And of course your Arduino, I made it on the Arduino UNO R2.