Welcome the world of Arduino!
Have you installed the Arduino IDE or are you just running it out of the compressed file? This path implies you haven't full decompressed the IDE.
The standard getting started guide (found at http://www.arduino.cc/en/Guide/HomePage
) applies to the board you are using.
Also, without posting the actual code you are trying to compile, it can be difficult to troubleshoot. When posting code, please wrap it with code tags (by pressing the "#" button in the post editor.)