The easiest way to use Processing is by downloading the Processing editor from the Processing download page.
That comes as a zip file. Unzip that file anywhere, and you'll have a directory that contains an executable (on Windows, that's
Running that executable opens up the Processing editor:
The Processing editor (also called the Processing Development Environment, or PDE) contains many tools that do a lot of work for you. It allows you to write Processing code, which it automatically converts to Java and then compiles and runs for you.
The PDE contains many features, but for now just write your Processing code inside the white section of the editor, and then press the play button to run your code. See the Hello World section below for some example code.