If you have not already, go download OpenFL.
You will also want to find a code editor with great support for Haxe (and hopefully, OpenFL). On Windows, the leader is certainly FlashDevelop. It offers great support for Haxe, and is a "gold standard" other editors are compared against. Unfortunately, FlashDevelop is not cross-platform. On Mac, developers favor Sublime Text, or IntelliJ IDEA, based on their taste. Linux users use Sublime mostly, but everyone has their own opinions!
Based on the code editor you choose, there may be templates to get started, but OpenFL provides a clean slate that you can use, with or without an editor. The base template provides a project file for FlashDevelop, but should be compatible with Sublime Text or could be imported for other editors.
openfl create project NameOfYourProject
If you are building from the command-line, enter the project directory, then these some of the commands you can use to build and test your project:
openfl test windows
openfl test windows -neko
openfl test mac
openfl test mac -neko
openfl test linux
openfl test linux -neko
openfl test ios
openfl test ios -simulator
openfl test android
openfl test blackberry
openfl test blackberry -simulator
openfl test flash
openfl test html5
You can also use "update", "build" or "run" separately if you want. You can also use "-debug" for debug builds (instead of release), or "-verbose" to get more information when building.
You can learn more about the commands using: