The way you've wrote this, the numbers a and b must be entered like arguments of the main methode when you're running your program
ex. java max_of_two_numbers 6 7 (only if you use a command prompt to run your program), where 6 is a and 7 is b
If you really want to be prompted to enter the numbers and read them from the ketboard, you should read that thing posted by Rahul
By the way, I suggest to you to switch to blueJ -
www.bluej.org which is much more easier to use for a beginner