If you're using a desktop or laptop then you've already got all the tools you need to start programming in javascript. Javascript is what's known as an 'interpreted language'. That means that you don't have to write some code and create a .exe file from it. Instead, the code you write runs directly in a program called an 'interpreter'. As luck would have it, modern web browsers work as an interpreter for javascript. That's how most web sites do fancy stuff instead of just showing plain web pages. For example, this forum has a load of javascript running in your browser right now, and the code files can be found in the html for this page, such as -
http://forums.overclockers.co.uk/clientscript/vbulletin_menu.js (don't be put off because this file seems unreadable! It was originally written in a much more readable way, but things like spaces and line breaks would have been removed to cut down the size of the file to reduce the download size).
If you want to create .exe files, such as most windows programs, then these are generally made using a 'compiled language'. These are typically languages such as C++. In order to do this, you need to download a "compiler" for the language you are using. Compilers turn the code you've written into an executable. This is generally a one-way process - once you've compiled your program into a .exe file then it can't be turned back to code.
Traditionally, compilers are free to download. Many are bundled with other tools and released as a "integrated development environment" (or IDE). Along with the compiler, IDEs have other tools to help programmers, such as text editors designed specifically for programming, tools to help organise your code and tools to track down bugs. One of the more popular IDEs is Microsoft Visual Studio. A free version (called 'Express Edition') can be downloaded here -
http://www.microsoft.com/visualstudio/eng/downloads#d-2013-express (you want the Windows Desktop version for creating .exe files).
Hope this helps