Most programming books begin by showing you a program which displays the message Hello world!. I find this approach to be a boring cliche with no practical use whatsoever. So, here's how to write that script in REXX. (Remember, you got this book for free, so just shut up and bear it).

1). Run RexxEd or Notepad (or any other text editor that saves plain text. Do not use a Word Processor that saves special formatting characters embedded in the file). Type the three lines below in Notepad's window. (To save time, just drag your mouse over the text below, while holding down the left mouse button, to highlight the text. Go up to the "Edit" menu and select "Copy". Now go to an open RexxEd window, and select "Edit -> Paste"). 
/* This script displays Hello world! */
SAY "Hello world!"
PULL
2).If using RexxEd, then just go to the "Run" menu and select "Execute script". (You will first be prompted to save the text to disk as a file. Name it hello.rex).

If using Notepad, or another editor, you will first need to save the text to disk. Name it hello.rex. Then, you'll need to find the icon for that file. (Use "My Computer" to rummage around to where you saved it). Move the mouse pointer over the icon, and double-click the left mouse button, just like you would start up any other program on your computer.

Incidentally, you do not need to use RexxEd's Run menu to run a script you create with RexxEd. You can instead find the icon for the file you saved, and double-click on it, just like you would start up any other program on your computer. But RexxEd's Run menu relieves you of having to do that.

The above script consists of a comment indicating what the script does, followed by an instruction which does just what the comment indicates. SAY is the REXX instruction which sends data to the standard output (ie, defaults to displaying that data upon the computer's monitor). The data that SAY displays is whatever has been typed after SAY. In this example, that's the literal string Hello world!. We would refer to Hello world! as the argument for this SAY instruction, since that's what this particular SAY instruction operates upon. We refer to SAY itself as a keyword, as that's the word which indicates what the instruction does.

When you run this script, you should see a DOS command window open and display the message "Hello world!". Ok, so maybe it wasn't as exciting as the Olympics, but at least the program worked, and you didn't pay $12 for that beer.

For now, you need not concern yourself with the PULL instruction. I put it there just to prevent the window from closing down immediately after displaying Hello world!. You can press the ENTER key to automatically close down the window and end your REXX script.