If you had Windows64 you would know about it. Assume you are on 32 (which means the processor processes 32 bits at a time).
Check the licence agreement
Download the "offline" version and put it in your "download" folder or wherever else you keep downloads.
Double-click the jdk file
Follow the instructions in this website.Remember what you called the folder you put the Java files in. Note particularly no 4 about setting the PATH permanently. You have to follow those instructions to the letter. Create yourself a folder for keeping Java programs in. Then run the Hello World program described here. The only real use for a Helloworld program is that it proves your installation is working.