You will
need to have Java SE Development Kit - JDK 1.6 or higher (download here)
You need to download WTK:
either from SUN where you can use either little older WTK 2.5.2(more tutorials) or latest Java ME SDK 3.0or from any other mobile provider (Nokia, Sony Ericssson etc) - here you can find list of them
All necessary coding you can do through any text editor or your favourite
IDE (IntelliJ IDEA< Eclipse, NEtBEans etc)