How to compile a LaTeX document?

one way of doing this is using the command line by entering pdflatex yourfilename.tex (assuming MikTex is in your path - just give it a try).

Another way would include installing software such as TeXnicCenter or TeXworks which will let you open/edit/compile a .tex file from within an editor environment.

A third way could be to import it into LyX and then compile with LyX as usual.

Edit: See LaTeX Editors/IDEs.