You can download blinky and all of its support files here.
Plug the stm32f0discovery into your USB port
Open a terminal window (lets call this window A), extract the files, move into the extracted directory and run make. Hopefully all will go well and you will have a file called main.elf.
You now need to open up a new terminal window (window B) and, as root (or using sudo) do this:
openocd -f /usr/local/share/openocd/scripts/board/stm32f0discovery.cfg
(I'm assuming that openocd placed its files in /usr/local - the default setting)
Go back to window A and run
This downloads the program to the STM32F0Discovery board
Your screens should look like this (Window B on the left, Window A on the right)

The program should now be running and you should see the blue LED blink