Welcome to JavaRanch!
Here is Sun's Java SE
download page.
If you are just starting with Java, I recommend the "JDK 5.0 Update 9," which includes the Java Development Kit (JDK) and the Java Runtime Environment (JRE).
You should not need the NetBeans
IDE or Java EE (Enterprise Edition) at this point.
Be sure to carefully follow the
installation instructions -- especially with respect to setting the PATH variable.
Let us know how this goes!