Welcome to Java!
Keep in mind that Java is a programming language which you write and configure, then you have to 'compile' it before you can use it. The 'compile' part is what the 'java virtual machine' or 'jvm' does. You'll need to download it from Sun Microsystem's site, or use a special program which can assist with that. A book that I used and was helpful was by Dietel & Dietel. You might try your local library or book store & take a look at it. Some of the books out there come with a CD which usually has all the programs on it which you need to install on your computer to get started.
Then you can write simple programs to use on your computer, or write applets to use on web pages.