Im new and confused!!!
Hi, Angelfire, and welcome.
Java is a fully-fledged programming language and can be used to do just about anything you can think of. It is most commonly looked at from the point of APPLETS or APPLICATIONS. An applet is a mini-program with strict security limitations which is run inside a web browser. To use recent versions of Java ( Java2, for example) you'll need to have a suitably up-to-date Java Plug In, which is downloadable FREE from Sun.
An application is a full program which does not have the strict security limitations of the applets. You can write games, word-processors, music programs... absolutely anything.
Java is partially compiled into byte code, which is then interpreted by the Java Virtual Machine. ( This is medium-slow in computing terms) Fully compiled languages like C++ are very fast. However, with the ever increasing speed of processors....
Java is partially compiled because this makes it portable. If you write an applet on a PC running Linux, the same applet should run on a Mac running OS X, as long as both machines have the Java Virtual Machine.
Which is the best to start with?
If you buy a decent book on Java, it should come with the CD containing the Software Developer's Kit, JVM, and a whole lot more. Make sure the SDK is ATLEAST version 1.4
Good luck with whatever you choose to learn.