Just download the one with NetBeans, then you'll get a free IDE ready to use out of the box.
http://java.sun.com/javase/downloads/index.jsp

Or do it the hard way: http://java.sun.com/javase/6/webnotes/install/jdk/install-windows.html

@ O.P.

Recommend do it the hard way as Peter suggested cause that way you will learn more about Java. Don't straight away jump and use NetBeans, although its a good IDE its unnecessarily bloated, recommend you stick to simpler IDEs like BlueJ or JCreatorLite or better yet just use Notepad which will expose you more to the process of what goes on behind the scenes during in compilation and running the program using just the jdk. (not to mention the extra effort you will put in to remember stuff without auto-complete and improve your skills in finding out errors when you search for them yourself instead of them being handed out on a plate like a fully featured IDE would).

Move on to use NetBeans (or Eclipse or IntelliJ) only when you feel you have mastered enough of the basics and are comfortable in finding your way around in Java.

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