If you have any problems with the above steps, post back here and someone will help you out. (If it's an installation issue, be sure to mention which operating system you're using.)
If you're teaching yourself Java, your best resource is going to be a good introductory book, like Head First Java. There are some good free resources on the web (like the Java Tutorial that Henry mentioned above), but buying a really good book will save you a lot of aggravation in the long run.
"We're kind of on the level of crossword puzzle writers... And no one ever goes to them and gives them an award." ~Joe Strummer sscce.org