Wanting To Read SICP

So, /prog/ gurus, I finally decided to try to tackle what everyone has been yelling about.

First question - what interpreter is the most widely used for scheme, and which one should I use?

OP here, I'm a virgin of programming, only plays with a few sex toys and my hand if you want to draw a parallel. I've touched a bit of java, done some php, C++, html. Never really sat down and decided to truly learn how to program with abstraction and all that jazz in mind.

So bear with me when I say this.

But how exactly does MzScheme work? I've set it in my path so I can run it from the command prompt, but as far as I can see it's just like...a cli. I enter stuff into it, it responds. Am I supposed to work the whole way through like that, or is there a "compiler" for it?

And what's with all this other stuff that comes with MzScheme? Mzc.exe? mzpp.exe? PDF SLaTeX.exe?