just go into "add objects" (in the corner of the little screen showing your world at the top) and choose a character or something. then click done, and on the left hand side, there is a box with some tabs in it. click on method, choose one, and drag it to the big yellow box in the middle. set the settings, click play, and off you go! keep trying out different methods and you will see what can be done in alice.... i am a self taught alice user... and that's how i learnt.
hope that helps...
pingu
and by the way, it's called a method, not a program. the program is basically the Alice software, and the method is the thing you write that makes the characters do something. unless your software isn't working and you really meant program. if so, just do what HisWorld told you. (oh, and look at the tutorial, like he said)