as your obviously very new to programming in general (or else you'd know to google simple questions..)
i'd recommend install the java sdk from sun.com and then download textpad at textpad.com, it's simple enough to understand after some reading in the help file.. it compiles, runs all .java files..
if you think u'd need more power, try eclipse from eclipse.org, i *think* the windows version includes a java sdk, but i'm not sure, as i used that only in linux..
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lisp hacker

running: FreeBSD 5.4 - still learning

develop with: SBCL + emacs for lisp, Anjuta IDE +gcc for c, SPE for python..
browse with: opera