JVMs work inside a browser (well, they can also be in little chips for embedded systems but...). The browser controls the loading etc of the JVM when something on a web page needs it.
A JRE (
Java Runtime Environment) is for running applications outside of a browser. Often applications "bundle" a copy of a JRE with the application code when you install it on your machine.
Sun provides the specifications for creating a JVM to vendors. Sun has a download page that you can get the JREs from. Of course they also let you download the SDK for developing code.