To make your first "Hello World" program, I suggest you start getting in the habit of using Project Builder. It has a great source editor, and is indispensable for resource management for large projects. When you're creating large Cocoa applications with hundreds of classes, nib files, and other resources, its really great. It also provides a nice front-end for gdb.
Find Project Builder in /Developer/Applications, then launch it. If the "New Project" panel isn't on your screen, choose File -> New Project. Scroll down to the bottom of the list, and select "Standard Tool". Click Next. Select a name and location for your project, then click Finish.
To edit main.c, click the arrow next to the Source folder, and click on the file. And...wattaya know, but there's already a hello world application there!
To compile and run it, click on the toolbar button third from the left (the one with a hammer and computer screen). You can also press Command-R or choose "Build and Run" from the Build men. Project Builder compiles the project with gcc, then executes the program.
If you don't yet feel the need for Project Builder, you might like BBEdit. Of course, that isn't free and isn't so useful for larger projects, so I recommend you start off with PB.