Welcome to JavaRanch
Download jdk6u1.6.0_14
Ignore all the other folders, unless you are running short of space on your hard disc.
If you search this forum, you will find lots of instructions about setting the PATH; this "common problems" page from the
Java™ Tutorials (which you would do well to bookmark) has a link to how to set the PATH. That whole section takes you through starting your first ever application.
You can write set path = C:\Program Files\Java\jdk1.6.0_14\bin, yes, but you will have to do that every time you open a command prompt. You can of course use that technique to try different versions of Java.
You might have to write ;%PATH% at the end of that line, for access to other executables on your computer.. I think it's %PATH% but might be mistaken.
There are other ways to set the PATH; in the Java Tutorials link, it tells you how to set the PATH permanently, which most people do.
Don't put anything into the bin folder.
Easiest way to create a folder: open a command prompt (it opens in My Documents as a default), and write this sort of command:
mkdir java
cd java