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Strangely enough, it doesn't tell you where to store the file so that it can be compiled
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That's because you can store the file anywhere.
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preferably with a GUI so I don't have to learn all the command line crap while trying to learn the language too?
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It is definitely in your best interest to become familiar with the command line.
First, you should open a command prompt and type "javac" (without the quotes). If you get a message saying that "'javac' isn't recognized...", then you'll need to adjust your Windows environment variables. Otherwise, to compile your code, you need to tell the java compiler where your file is. When you open the command prompt, you'll notice that a directory is specified (ie, C:\Documents and Settings\username\...). That is the default path that the compiler will look in to find your file. So, you have two options.
1. Specify the full path to your file (javac C:\Documents and Settings\username\...\filename.java) or
2. use the cd command to move to the appropriate directory.