In the link below:
http://digitalfilter.com/enindex.html
Check the "DSPLinks" software, and the tutorials (specially the tutorial on window functions). It seems nice, very didatic.
What can this program do?
can you program effects in it and than run them on a microprocessor like the 8086-8088?
No, you can program a effect and the run a wave file through it to see/hear if it works, or to learn what's happening. It's more like a learning tool for the theory than a way to implement anything (except as a proof of concept). You could use some other software for this, like matlab or octave, for instance, but this one has a friendly interface and it's free.