From Facebook Developer Wiki

Now that you've done a lot of reading, you are probably itching to start coding. You're almost there.

You should familiarize yourself with the components of a Facebook application, so you can start thinking about how you want to integrate your application into Facebook.

Most Facebook applications are canvas applications that run on Facebook. The data for your application lives on your own servers, but the application appears on a canvas that is wrapped in Facebook's "chrome" and appears on apps.facebook.com. Canvas applications usually aim to extend the functionality of Facebook, and can be anything from a game to a productivity tool.

Through Facebook Connect, you can integrate Facebook Platform into your own website, iPhone or other mobile device, or create your own desktop applications. Popular blogs, review sites, and news and entertainment sites bring the power of the social Web to their websites. See Facebook Connect Live Sites for examples of sites that are running Facebook Connect.

Once you know what sort of application you want to make, start using the Facebook Connect Wizard or configuring your canvas application!

You'll need to refer to the core Platform components, such as the server API, FBML, FQL, XFBML (for IFrame applications and Facebook Connect), and FBJS.