To create your own Java applications, you'll need to get and install the Java SDK; you can find it at http://java.sun.com/j2se/ (download the Software Development Kit, SDK, not the Java Runtime Environment, JRE). The current version of Java as of this writing is 1.4. After downloading the Java SDK, usually as one executable package that installs itself, follow the installation instructions on the http://java.sun.com site.
The Java SDK
At this point, I'd love to be able to give detailed instructions on how to install the Java SDK, but that's a trap too many books have fallen into. The actual installation procedure has changed so often and so many times that any book that covers Java (and I've written many on Java) and tries ...