An IDE is a tool, a software that has things that help the programmer's tasks. The things can be; a text editor - as you'll probably want to type and edit your code. a compiler - to translate the programing language you use into something a computer can deal with... a debugger - to help cheking for errors.
And everything is centralized in one aplication...
A famous IDE for Java is NetBeans, which you can download from sun's site and try for yourself.
Ps. You won't catch me dead using an IDE, colored-syntax text editors rule!!