In order to develop in Java you need the JDK or standard development kit. This contains all of the files you will need to compile Java from the command line. Yep it does not have any pretty GUI but then we can always download one. The compiler and the development enviroment are sperate so we will talk about it seperatly!
The JDK contains -
You can download the JDK from the http://sun.java.com/. Go to the downloads section and select "Standard edition". You may wish to download it with netbeans (makes life easier later!) or download it on it's own.
But wait why are there so many! Java is not a small language and there are many, many, many frameworks, API's and what not. You must get the JDK standard edition (with or without netbeans) in order to start editing.
Here is a direct link to the correct page if you get lost. Download java