Cool Sean -- I've been working on something similar for a while now so maybe I can help a little.
The example project that is available from the Blue J resources page
I've found that for me a good way to start is to work out what objects are needed
i.e in this case the Desk, Room etc. could all be Places or something similar, and to have a Player or Character object that can move between them. The Place would have references to all of it's neighbouring Places, and would be the object that you would ask where you could move (as the player). Keeping it as simple as possible
seems to be the best way to do it.
The BlueJ zork game is an excellent place to start, in my opinion. They have a good system and a parser as well if you were interested in making your game take text commands.
If you have any more questions or just want to bounce some ideas off someone, don't hesitate to post again and I'll see if I can help.
Good luck Sean!