java and j2me are same or what ?
Can I make j2me app. After learning java ?
If yes Suggest some good free website to learn java which gives complete a2z course ?

why not? but keep in mind: there are no "complete a2z" courses, since what you need is knowledge about several things.
start with basic Java (just look at the sticky thread on top of this forum)
and later on go look for what you need for mobile applications.

also: if you only start with java now, don't assume you'll be writing mobile apps the first few years. there's a LOT to cover.

Learn Java so you can develop Android applications, JME/J2ME development is sort of dead...