Here's how you do it: Open notepad and make a project, you don't need to type out anything. Once you have it, save it as... And this is really important, name it whatever you want but make sure that the name ends with ".lua", otherwise it won't convert upon saving.
To run Lua programs on your computer, you'll need a standalone Lua interpreter and perhaps some additional Lua libraries. Pre-compiled Lua libraries and executables are available at LuaBinaries. Use your favorite text editor to write your Lua programs. Make sure to save your programs as plain text. If you want an IDE, try ZeroBrane Studio.