I too, was following "lesson 0," but found no reference to the http://arduino.cc/en/Guide/Windows
link (which explained it very well). This info for downloading and installing drivers and selecting "board" and "serial port" should also be mentioned at the start of "getting started - lesson 0"
I figured it out in the end, and I love the challenge if learning, but I can see how this could be frustrating for someone just starting out.
A humble suggestion from an Arduino Newbie