If you currently have no software to make music with and to play with synths, browse this (relatively outdated) guide, or google the word "DAW", first. Then when you're done, you can read the rest of my post, where I explain how you can recreate that kind of sound with pretty much any synth. Deal? :D
That's called an, um, typical analog synthie thing sound? Maybe it'll be classified as a brass sound. It's one of the simplest sounds you can make and you can do it with any synth that has a filter. The only parameters that matter are these:
1. Saw wave oscillator
2. Low-pass filter with cutoff somewhere between zero and halfway up, you can add a bit of resonance if you want
3. Filter envelope with a short attack (A) and a relatively short decay (D), make sure the envelope affects the filter cutoff somewhat, the knob with that function is called "amt" on this synth but it could also be called "envelope to cutoff" or something like that.
Then you add a chorus effect for a smoother sound.
Here's how it can be done with the Subtractor synth from Reason (minus the chorus part)