Java is great download netbeans from
http://www.netbeans.org/downloads/
You might as well choose the All install, if you have not got the Java JDK installed allready or are unsure then you must install the JDK prior to installing Netbeans.
The only way around this is to download a bundle from Sun direct that includes the Java develpors kit and Netbeans in one tidy installer.
You can get that from here
http://java.sun.com/javase/downloads/netbeans.html
Make sure you choose English
Once you have your IDE set up and ready to go Sun have some great begineers infomation and tutorials here
http://java.sun.com/docs/books/tutorial/java/index.html
one of my favorite sites is
http://www.javaranch.com/ Java is free and if you download Netbeans you can later add free software to make applications for your Java enabled mobile phone its a reaaly good language to learn from a beginers perspective and gives you a great understanding of the more complex subjects such as polymorphism encapsulation class inheritance etc.
Excuse the spellings been up all night =P
Ohh on a side note if you have an old PC sitting around download solaris from Sun it has pretty much every Java tool you could imagine preinstalled into a free and open source operating system, it wont replace windows but with open office and solaris you can really do some Java without worrying about installing it all individually.
Solaris come with netbeans and full Java tools pre installed so if you have an old PC lying around that you can use for leanring Java Solaris will do the job very very nicly.