If you are on Windows and want to run object c code, there are few Objective C compilers available for windows. One such implementation of Objective C spec is GNUstep project which has implementations for a number of operating systems including windows.
Installing it is straightforward. Download and run the installers in the specified order. Once its complete, you will get a GNUstep option in the start menu.
Shell can be used to compile and run programs including Objective C programs. This shell has most of the unix programming utilities including gcc, g++ , make and gdb.
In order to build and run a sample program, easiest way is to use a makefile. For GUNstep, the makefile should be named GNUmakefile. If the makefile uses any other name, it should be specified in the make command.