I wrote a basic getting started guide for trying out Feathers UI for Haxe and OpenFL. I've noticed more than a few people express frustration about getting started, so I tried my best to cover some things that don't seem to be well-documented elsewhere. Even if you aren't planning on using Feathers UI, it should walk you through much of what you'll need for Haxe and OpenFL.
First, how to install Feathers UI:
https://feathersui.com/learn/haxe-openfl/installation/
OpenFL is a dependency and will be installed automatically. If you want OpenFL only, and don't need Feathers, you can run haxelib install openfl
for the installation step instead.
Then, how to set up a project in Visual Studio Code or HaxeDevelop:
https://feathersui.com/learn/haxe-openfl/visual-studio-code/
https://feathersui.com/learn/haxe-openfl/haxedevelop/
The main thing for people new to Haxe is that you should start with Haxe 4. It's in the release candidate stage, so it's pretty stable. Don't bother with Haxe 3. You'll definitely have a much worse experience in a number of ways, even if that's the current "stable" release.
If you follow this guide and run into issues, I'd love to add some extra content to the troubleshooting sections to help make it even better. Let me know about weird error messages or anything else that trips you up.
Note: Haxe 4.0.0-rc.4 happened to be released this week. It included some minor breaking changes, which temporarily affected the OpenFL ecosystem. If anyone tried to get started in the last few days, they would have run into problems. As of today, now that OpenFL 8.9.4 and Lime 7.6.2 are both released, things should be back to normal.