The simplest way to do this in APL is by starting APL and typing this:
⎕←'Hello World!'
However, for the rest of the world this might not qualify as a program. Aplers are used to the idea of using the session as an input/output interface. Others might not be. In mswindows for instance a program is something we can call from the Run... dialog box.
To get our program into a state where we can do that requires a choice between a number of alternative routes probably none of which will actually use ⎕←.
Here are three possible approaches:
[:HelloWorldGui:GUI]
[:HelloWorldHtml:HTML]
[:HelloWorldOle:OLE]