In Codea...
...under Projects...
...click the big plus...
...to create a new project...

You can call it anything you want.

I called mine Spritey.

You will get this:

-- Use this function to perform your initial setup
function setup()
    print("Hello World!")
end

-- This function gets called once every frame
function draw()
    -- This sets the background color to black
    background(0, 0, 0)
    -- Do your drawing here
end

This is called code or a program and we will be changing it later.

But first, press play.

It will print Hello World.

And this is all you need to start.