What sort of application are you thinking of? Standalone app -- in this case you must be typing something like this on the command line:
>java MyClassWithAMain
or you are using a bat file (or equivalent) that is doing this for you.
If you are thinking of an
applet, the "main" is part of the code that IE or Netscape has embedded in it (the plugin) and you never see it.
If you are thinking of a web app, again the "main" is part of the framework and you never see it, or write it.