In this video Joe Shindelar provides a quick overview of the minimum set of tools you'll need in order to get started with module development. Some kind of web server to host your development site on, an editor that allows you to edit PHP files (preferably one with syntax highlighting), a MySQL client, and Drush. Learn about how these essential tools fit in the module developers tool belt and then download and install a bare bones copy of Drupal to start tinkering with.
Check your version
This video covers a topic in Drupal 7 which may or may not be the version you're using. We're keeping this tutorial online as a courtesy to users of Drupal 7, but we consider it archived.