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A micro-controller does not know what to do by itself. It’s your job to tell it what you want it to do. So, you need to write a program code on your computer. You need to compile the code with a compiler for the micro-controller you are using. And you need to upload the compiled version of your program to your micro-controller.
Before you can upload your program to your micro-controller, you need to compile it. This means converting the code from human-readable code to machine-readable code. Use a compiler that supports your micro-controller and compile your code into machine-code for you chip. A popular compiler is for Atmel AVR chips is avr-gcc. After compilation you will have one or more files containing machine code. Then you need to upload these files to you micro-controller.
Usually it’s one program file and a file for EEPROM and/or flash that you need to upload. You need a physical connection from your computer to your micro-controller. Either you can use a dedicated programmer (such as the AVRISP) or if you have a USB programmable chip, you can program it through USB (which I think is the best alternative).