Arduino programs are called sketches. The Arduino programmer comes with a ton of example sketches preloaded. This is great because even if you have never programmed anything in your life, you can load one of these sketches and get the Arduino to do something.
To get the LED tied to digital pin 13 to blink on and off, let's load the blink example.
The blink example can be found here:
Files --> Examples --> Basics --> Blink
The blink example basically sets pin D13 as an output and then blinks the test LED on the Arduino board on and off every second.
Once the blink example is open, it can be installed onto the ATMEGA328 chip by pressing the upload button, which looks like an arrow pointing to the right.
Notice that the surface mount status LED connected to pin 13 on the Arduino will start to blink. You can change the rate of the blinking by changing the length of the delay and pressing the upload button again.