If
you want to start Developing for Saturn, the things you should download SaturnOrbit it's the new and easy Saturn development environment for Windows.
You can also setup your own development environment using :
The Compiler : Here
The SGL Library : Here
These tutorials about how to set up the environment: (by Takashi)
Part 1
Part 2
And finally some examples from the programs page here. There are loads of other docs
available here that explains almost everything.