Moved to the "C" forum.
The wiki page for the toolchain setup explains how to compile. You've downloaded a bunch of tools. Not an IDE (== integrated development environment). So with the tools you have now, you'll have to edit your code with Notepad++, fire up the command prompt and compile it from there. "cd" to the directory that has your code in it, type "make" and if you've setup everything according to the wiki, that'll already do.
If you'd prefer an IDE search the wiki for Code::Blocks or Eclipse.