This week's book giveaway is in the OCMJEA forum. We're giving away four copies of OCM Java EE 6 Enterprise Architect Exam Guide and have Paul Allen & Joseph Bambara on-line! See this thread for details.
There is no cross-platform way to do it. There are ANSI codes which work on Unix type systems, but they don't work on Windows. To get it to work on Windows you will need a library of some sort. A good Google search should help you find the ANSI codes and several libraries for Windows to choose from (maybe JAnsi or something like that? I forget, bu there are multiple).