Notes and explanations
setup() is called when the sketch (program) starts.
loop() loops. Over and over again - it is how your program to change and respond.
Digital consists only of ON & OFF. (Analog has varying levels).
PinMode tells the pin whether it is an output or an input. This only needs to be set once - hence it goes in the setup.
digitalWrite turns the pin on (HIGH) or off (LOW).
delay is set in milliseconds by default
Arduino has an excellent language reference resource online at http://arduino.cc/en/Reference/HomePage