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 Web applications. That is, they run in a user's browser. Web applications usually aim to extend the functionality of Facebook, and can be anything from a game to a productivity tool.

Or you could create a standalone application that a user downloads to their computer, known as a desktop application. While these applications don't run in a browser, they're also not specific to an operating system. Desktop applications usually help a user to interact with Facebook from the outside. A good example of a desktop application is the Facebook Exporter for iPhoto. But a desktop application could be a file browser or a status updating tool.

The newest way to engage with the Facebook community is through Facebook Connect, which lets you integrate Facebook Platform into your own website. 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 configuring it! You'll need to refer to the core Platform components, such as the API, FBML, FQL, XFBML (for iframe applications and Facebook Connect), and FBJS.