If you only want to develop a web service client, then everything you need is in Java SE 6.
If you also want to develop a web service, then you need a web service stack, like Metro.
Metro is the default web service stack in the GlassFish application server, so if you use it, you get everything pre-installed and ready to use.
The NetBeans IDE has quite good tooling for web service development. If you want more control, Eclipse is a better alternative.
http://www.netbeans.org also has a lot of web service tutorials, both regarding client and server development.