Start writing a Prolog program in a file with extension .pl. If your program consists of multiple files, it is common practice to add a file load.pl that contains file-loading directives to load the various parts of the program:

/*  File:    load.pl
    Purpose: Load my program
*/

:- [ rules,
     inference,
     goals
   ].

On Unix, it is normal to start Prolog in the same directory as the program resides and run the following commands.

% swipl
<banner>
?- [load].
<consult messages ...>
?-

Alternatively, you may wish to use

% swipl -s load.pl
<banner>
?-

On Windows, the .pl extension is associated with swipl-win.exe and most comfortable way is to double-click the .pl file you want to load in the explorer. This will start SWI-Prolog, which changes directory to the directory holding the file and then loads the clicked file.