We provide an in-browser coding editor for you here on Khan Academy to make it easy for you to try out HTML, get immediate feedback, and share your work.
However, our coding editor doesn't let you try everything—both for security reasons and because it's hard to host a full-featured editor in such a small space!
Once you learn HTML/CSS here, you will likely want to start developing webpages in a more full-featured editor outside of Khan Academy, which would add features like multiple files, file search, and custom plugins. In any editor that you use, make sure you save your file with a filename that ends in ".html"— that's the file extension that is used for all HTML pages to make sure that both editors and browsers know what they are.

Online editors

One option is to use an online editor, similar to ours but with additional features. You might want to use an online editor if you have a computer that doesn't let you download apps, like a ChromeBook. Online editors often have multi-person realtime editing tools as well, if that's something you're looking for. Some popular online editors are Cloud9.io, nitrous.io, and Koding.com. Here's a video of me editing a webpage in Cloud9:

Desktop editors

Another option is to use a desktop editor. An app is downloaded to your computer and saves the files to your hard drive. There are lots of desktop editors for you to pick from, depending on what OS and price you're looking for. Some popular desktop editors are Sublime Text, Coda, Atom, and Adobe Brackets. Here's a video of me editing a webpage in Sublime Text:

Command-line editors

A third option is to use a command-line editor. If you're not already familiar with the command line, you probably don't want to go down this route since you'll also need to learn a lot about the command line first. On the other hand, if you love typing and navigating with your keyboard instead of your mouse, you might find you love command-line tools. Two popular command-line editors are Emacs and Vim, and they are often already installed on Unix-based systems like Macs and Linux. Here's a video of me editing a webpage in Vim:

Picking an editor

Which one should you pick? Well, you're welcome to just keep using the Khan Academy HTML/CSS editor for now. Eventually though, you'll want to get comfortable with at least one other editor. You might want to try out a couple different free options and see which one you like the most. You can also ask around to see what friends and colleagues use. It's often helpful to use whichever tool is most popular with your peers because then you can ask them for help.
P.S. I polled the Khan Academy engineering team, and here's what we use:
Bar chart of editor preference—Sublime Text, Vim, Emacs, Atom, in that order.