The backslash is an escape character for the shell; it allows you to get spaces into the path, for instance. (Windows uses as a directory separator. Mac OS X and other Unix and Linux systems uses the / for that purpose. There are other differences in file specification syntax between Windows and other platforms, as well.)
If you have a subdirectory of your login directory named Code, then the path in Terminal is
cd ~/Code
That tilde is shorthand for your login directory, and the longer version of that path is usually something like this:
cd /Users/your-short-name-here/Code
Here's a longer command sequence, moving first to your login directory, then a relative path into the Code subdirectory:
cd ~
cd Code
Had you had a space in that directory with, say, My Code, then you'd have one of the following:
cd ~/My Code
cd /Users/your-short-name-here/My Code
Since you're planning to do some programming, here is a [file system overview|http://developer.apple.com/library/mac/#documentation/MacOSX/Conceptua l/BPFileSystem/Articles/Domains.html] from the Apple developer documentation. This document describes various concepts and constructs, as well as the directories that should be used for various purposes.