You will need an IDE to make your life not miserable: ​ (Eclipse/IntelliJ)

Download and install Android SDK:

http://developer.android.com/sdk/index.html
http://developer.android.com/sdk/installing.html 
Open Android SDK Manager and install the for the most common AND latest SDK:​ 
http://developer.android.com/resources/dashboard/platform-versions.htm
At the time of writing, we want to make sure that Apps are compatible to Android 2.3.3 for phone apps BUT compile with Jelly Bean for forward compatibility. 

After installing all the appropriate ​files, 
http://developer.android.com/resources/tutorials/hello-world.html