Before you can work with LaTeX, you have to make sure that programs you use are capable of reading it. You do this by installing an implementation of LaTeX/TeX (what LaTeX is based on) that includes LaTeX/TeX and a few tools to help your computer use and interpret it. Here are three:
Most people writing in LaTeX use an editor, which typically have compiling and displaying functions built in. (But, since LaTeX is just a markup language, you can technically use any basic text editor to write/markup your document. Just save your work as a .tex file and use some other program to compile it. Feel free to do this if you're feeling ambitious.)
There are many different editors out there, and whichever one you use is a matter of personal preference. Most LaTeX editors look like a code developing environment. If you've used Visual Basic or NetBeans, you know what that looks like. There are a few LaTeX editors that look more like Word, where you type in your text, then highlight and select options to appropriately markup the text, but the markup remains invisible. (i.e. It doesn't look like code.) The looks-like-code variety of editors tends to be more robust than the looks-like-Word kind, but the looks-like-Word kind can be useful for beginners.
A few editors are listed below. There are tons more. Go exploring and see which one you like best!