We need to setup NXC in your computer before you can start programming the Lego Mindstorms with NXC. You can follow the video or written instructions below.
Instructions - Video
Instructions - Written
To do this, you need to go to the NXC website at: http://bricxcc.sourceforge.net/nbc/
Download the nbc binary from that website. The pictures below should help you get oriented in the pages, and the links you need to click to download the binary.
Once you have downloaded the binary, you need to copy it to your computer to a location that will run it.
If you are in a Linux or Mac OSX computer, then you want to copy that file to the /usr/bin directory.
If you are in a Mac OSX computer, and you downloaded the binary, then the file most likely got dropped in your Downloads directory.