Alright Eric, I know where you are, and I've been there. there are all kinds of "directions" but very few offering an "understanding". I'm going to try to do that here.
Alright, from here I am only speaking in specifics of using notepad to write the program and the command prompt to compile and run it.
writing a "hello world" program (you can find it anywhere) in notepad and saving it as a .java file anywhere (on your desktop is fine for now).
Open command prompt and change directories to your desktop probably something like "cd Desktop" should do it.
type "javac HelloWorld.java" (or whatever you named the file/program). javac is the compiler, it will compile the .java file and create a .class file. this will only work if path is set correctly. if you recieve an error 'javac' is not recognized as an ... then your path is not set correctly for javac. To set it, go to start -> right click "computer" -> properties. on the left side of the window select advanced system settings (windows 7). Another window opens, select "Environment Variables" button on bottom. New window opens, in the top half, select "path" then press the "edit" button. At the end of the list, add a semicolon " ; " and for me, I added "C:\Program Files\Java\jdk1.6.0_21\bin" This points to the folder where windows can find the "javac" executible. save changes, and try to compile same as before. If it works correctly, it will create on the desktop (same directory as the source file) another file named the same but it will be a .class file. Your path for the compiler is now set.
Now to run the file all you need to type is "java HelloWorld" do NOT add the .class to the end or you will receive errors.
where ever you decide to put the source file, you should be good.
Hope this helps