Welcome to the Ranch.
Yes, there is a rite of initiation, far more harrowing than having to drink 16 beers backwards or anything like that.
Jim Yingst has just notified you of this
website: click on J2SE5.0 near the top left. Or you might wish to try J2SE6 beta. You may get NetBeans bundled with the download; even if you don't use NetBeans as a beginner, it does no harm to donwload NetBeans too.
Download that lot, and follow the installation instructions you are given.
Remember the exact name and path of the "bin" directory or "bin" folder you put Java in. That is the easy bit.
Now the hard part, which can put 10 years on the biological age of most programmers.
Go to
this training website, and click on whichever OS you use.
This is the real iniation ritual, which is called "setting up your path and classpath."
Follow the instructions to the letter. One letter or one "enter" out of place and you too can spend a week looking at command prompt or shell windows saying "bad command or file-java."
We've all been there, done that, got the tee-shirt and the bruised forehead from banging our heads against the wall. We know what it is like.
That's why we are happy to help others.