I would like to start writing a mobile phone appllication, which program is suitable for its development.. I have read about Java/J2ME, but how do i launch it; i have tried to install it but i cant see it when i browse in the all prgrams folder on the windows start menu..

You can get lot of info on Java Microedition development from this post http://www.daniweb.com/forums/post646446-14.html. Beside primary requirements I also mention alternative tools for development and there are links for tutorial and some reading which I found helpful or interesting. If you have any specific questions you are more then welcome to ask in Java section or in other forum sections if you decide to use different language.
There is variety of programming languages for mobile devices, wikipedia article on "Mobile Development" can give you quick over view

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