yes you have to copy and paste the code listings into text files and save them accordingly. The correct names of the files are written in the comments as first line of the code listings.
There should be at least 3 files:
main.c
stm32_minimal.ld
Makefile
C:\Users\Lord>arm-none-eabi-gcc -c -fno-common -O0 -g -mcpu=cortex-m3 -mthumb -o main.o main.c
arm-none-eabi-gcc: error: main.c: No such file or directory
arm-none-eabi-gcc: fatal error: no input files
From this we know this things:
1) The compiler is correctly installed -- good
2) The compiler is in the system path -- can be good, can be bad. Lets say at the moment good
3) You have absolute no idea about programming/ compiler -- hopefully this will change with time
