If you're just getting started with Pd, read through this page for the basics.
Getting Started with Pd
The easiest place to start is to install Pd-vanilla. Versions for all platforms can be downloaded here:
Install Pd-vanilla and launch the application. You'll see the Pd window appear. The Pd window provides helpful feedback but you don't need to pay attention to it right now. Pd-vanilla does not default have all the extra libraries Pd-extended had, but these are easy to install with the Deken tool found at Help > Find externals.
Exploring a Patch
Pure Data files are called "patches". Let's have a look at one. Under the Help menu in Pd-vanilla, open the Pd Help Browser..., click on the first item in the list, Manuals, then click on + Start Here. Open the first example patch, +start-here.pd, and follow the three steps listed there.
You're now on your way to programming in Pd. Move on to the Pure Data Floss Manual for a more in-depth introduction.