The first thing you'll want to do with your Arduino Board will be to get it set a prototyping board called a breadboard. Breadboards allow you to try out various circuits without needing to make them permanent nor damaging your components. For a full breakdown on what a breadboard is and how it works you need to read this page by Tom Igoe.
In this lesson we will set up our breadboard for maximum utility with Arduino. Once set up you can leave it together this way for the rest of this course.
Next we'll need to add an external LED. LEDs have two legs, on most LEDs the shorter one is the negative lead. It is also important to note that LEDs will burn out if you put too much voltage through them. So you will almost always need to include a resistor. The exact size will vary with the specific LED and the voltage we're using. When in doubt 1k ohm is a good default. For our LEDs and Arduino 220 or 330 ohms work just fine. Now attach your resistor and LED to your Arduino, being sure that the short (negative) lead is attached to our negative power rail (or ground).