Well, it's rumored that some people use an OS other than Windows, Solaris, or Linux, in which case they may have no use for Sun's JDKs. IBM makes JDKs for AIX (duh) and Linux - for the latter, I suppose Linux users can choose whether they prefer Sun's stuff or IBM's.
Anyway, to the original question: aren't there instructions available at the same place you got the download? IBM's site has links to user manauals which include a section on installation. Of course you need to specify what OS you're using. Here are links for AIX and Linux users.