Following what bibiki said...
Go to your local book store and buy a Java book that has coding examples.
Code the examples yourself to see what happens when they run.
Then, you can follow what sirlink99 said, or...
Come up with an idea for a project and just start coding.
That is what I did about five years ago
and I now have two applications which I am trying to sell commercially.
I also have two more projects, which are in development,
which will be commercially available this fall.
also there are many helpful youtube videos. I then suggest you watch youtube videos on Java programming to get the basics. then buy a book to expand your knowledge and then do what I mentioned previously.