Well I really don't know where to start - even where to attach the LEDs.
I realise I was a bit blunt but isn't it best to be honest? I'm just looking for some help to get me going without having to understand everything...
From what I have found and I am pretty new to all this too, is that you need a couple of things to get started.
The first is the Arduino IDE (integrated design environment), the main page has a download section just select your operating system.
Arduino has made a simple GUI (Graphical User Interface) for the IDE, and made it possible to "Flash" the AVR on your Arduino by just plugging it into a USB port on your computer.
The second thing you need is a "Sketch", the GUI mentioned above has a bunch built in already, and they provide one that turns an LED on or off. They even take into consideration that you may only have the Arduino PCB and no LED or Resistors, the Sketch uses the pin number 13 as the I/O so the LED on the Arduino flashes based on how you programmed the Arduino using the "Sketch"
Third thing you need is an idea, from there you can start asking people how to program certain things using programming languages you choose. For example if your a PHP guy you can ask people how to turn an LED on or off using the language, or ask how the Sketch on the Arduino communicates with the GUI you're constructing.
Not all Arduino applications need a GUI, the Arduino can also be programmed to interact with you and others without the computer, for example you may want to have some Christmas lights flash on and off to the music playing.
So what do you want to do with your newly acquired Arduino?