The best way is to get any flavor of UNIX .
You can just do it in terminal or go for more attractive GUI like : geany

Alternatives for other OS :

1.cigwin : cygwin
2.mks : mks
3.winbash : winbash

Online best alternative : junix


Now , the simplest way to write a script in terminal :

$ cat > script_name
> type here
>
>
press Ctrl+D

then ,

$ chmod 777 script_name

$ ./script_name

Other methods will be disclosed in the next coming posts