Once you've started your Progress editor of choice (there are a couple of options) simply write:
DISPLAY "Hello, World!".
And run by pressing the corresponding key or menu item:
On Windows in AppBuilder: F1 (Compile -> Run)
On Linux/Unix in the 4GL editor: F2 (or ctrl+X) (Compile -> Run)
On Windows in Developer Studio: alt+shift+X, followed by G (Run -> Run As Progress OpenEdge Application)