to get started you'd best not use any IDE. Way too many people get stuck in learning an IDE instead of the language and then get utterly lost as soon as they don't have that specific version of that specific IDE configured just like the one at school at their disposal.
Current production release is 1.5.0_07, no need to use anything else unless you have a specific business reason (like I do, some of our software requires 1.4 because some of our clients aren't yet upgraded to 1.5 and therefore require 1.4 classfiles from our public API).
Download the latest JDK from the Sun Site
Download Jcreator After Installing JDK and and then install JCreator for this will aut0 set all the properties required for compilation.
And then If you want to test if your setup is working download some example programs from http://www.freejavaguide.com/javasource.htm