Welcome to Löve
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So firstly , you want to create a folder which will contain all your scripts which in this case is main.lua. It doesn't matter where this folder is created initially, but you may want to move it as noted in step 1. Copy and paste the code from the website into your main.lua within that folder.
Now, to run the game you basically have two options - either create a .love or open the game folder with love.exe.
1) Running the game by opening the game folder with love.exe is the easiest and fastest way. To do this, you have to make sure that your main.lua script is in the top level of your folder (ie not in any subfolders). To run your game you simply drag and drop the game folder
onto the love.exe. The default filepath of the Love.exe on windows is C:\Program Files\LOVE\love.exe, so you may want to move your game folder into there to be able to drag and drop. Alternatively you can create a shortcut to love.exe in the same location of your game folder if you choose not to move it, and the drag/drop works in the same way.
2)Secondly, you can create a .love file which doesn't need to be opened with the love.exe but is slower to make. This is usually used to distribute your game on the forums and stuff. To do this, you simply move the contents of your game folder into a .zip archive and make sure that again main.lua is in the top level of the .zip. Then, simply rename the file extension from '.zip' to '.love' and then just double click and it'll run!
There are alternate ways to run the game such as with cmd or writing a batch file but they're not really neccessary at the start. Hope this helped!