There are various ways to compile and run an Objective-C Program . But i recommend to use to an Xcode (officially provided by Apple Inc.) .All i can say about Xcode is , "It's amazing" , It includes everything you are seeing in iPhone. Each App you see in iPhones, iPad and iWorld is developed in Xcode. All you have to know is just the basics of Objective-C Language to understand the syntax .
You can download Xcode from this official link .....
Once you downloaded the Xcode everything is ready to start Programming. Lets Start the fun iWorld Programming .
Open Xcode Goto File > New >Project >Single View Application > Enter Project Name (eg :- FirstProjectViewController) > Done.
Now you see two files on left navigation Menu of Xcode , ViewController.h and ViewController.m
For now you can write code in -(void)viewDidLoad()method.
Search for main.m on Left-Bottom Navigation Menu as shown in fig.