New to LaTeX?

CTAN has a nice write-up on what T_eX, L^aT_eX and friends are.

Downloading a L^aT_eX Distribution

• Windows: MiKTeX or TeXLive
• Un*x and GNU/Linux: TeXLive (you might prefer to use your distro’s package manager instead)
• OS X: MacTeX (based on TeXLive) or BasicTeX if your connection speed is slow

Tutorials and Guides for Beginners

• The Not So Short Guide to L^aT_eX2ε. The famous lshort.
• Introductory Workshop to L^aT_eX. Disclaimer: I (LianTze) wrote and delivered this.
• Getting to Grips with L^aT_eX. A personal favorite short beginner’s tutorial.
• The L^aT_eX WikiBook. A nice quick online reference.
  
• L^aT_eX and Friends. This is truly a very comprehensive up-to-date eBook for reference purposes. I understand that the author is still updating it from time to time.
• L^aT_eX Beginner’s Guide. Contains complete, step-by-step instructions throughout the book.