Welcome to JavaRanch! Have a look at the Java Beginners FAQ. Sun has a very good set of tutorials that teach you many different aspects of Java. And, ofcourse, if you have questions, feel free to ask them in the forums here.
Folks around here love to help. You usually get the best response when you ask a focused question. A post that says "this doesn't work" and has a block of code will get ignored by most folks.
but if you say "when I run this code, I expect it to output 'a', but it outputs 'b' and i'm not sure why" will often get tons of help.
writing code and experimenting is also a great way. We have our own Cattle Drive, with some programming puzzles anyone can try. If you want official nit-picking, there is a fee that goes to supporting the ranch itself.
There are also sites like Project Euler that has 200+ little exercises you can try in java (or any other language, or even by hand, if you want).
There are only two hard things in computer science: cache invalidation, naming things, and off-by-one errors
Originally posted by fred rosenberger: I've done about the first 30 exercises in project Euler. My longest source file is 93 lines. I'd call those little projects
Ok, the programs you write won't be pages long, but the Project Euler problems are not all simple problems that you can solve in 10 minutes. They're fun though, especially if you like mathematics. I've been doing the Project Euler problems in Ruby and Scala.