We'll use the DrScheme implementation in the course. It is installed on both the windows and linux machines in the undergrad labs.
The ugrad windows machines have the latest version, 4.1.3. Start Scheme via the "Start" menu. It's here:
Programs / DEV TOOLS & LANGUAGES / PLT Scheme / DrScheme
You can also double-click on a saved Scheme source file.
The linux machines have version 4.1.2, but that should work OK as well. On Linux, start it by typing drscheme to the shell prompt. You'll need to use XWindows -- Scheme will come up in a separate window.
Finally, you can download it and install it on a personal machine from www.drscheme.org (get version 4.1.3). It's free.
The first time you start DrScheme, you need to choose which language to run. Select "Pretty Big" (R5RS plus some useful extensions). This is under "Legacy Languages > Pretty Big".
Use the "Debug" button DrScheme to debug programs, and also to understand how recursive functions are operating. Another useful command is "Check Syntax", which of course checks the syntax, but also lets you see the bindings of variables. (Try hovering the mouse over a variable -- good to help understand lexical scoping.) The full manual is online at http://docs.plt-scheme.org/drscheme/index.html.