You might start with realising that Java is not an
acronym or abbreviation, so should not be all upper
case.

For instruction you might proceed to Sun's own Java
Tutorial (it can be browsed on-line, or downloaded).

You will need a late model SDK, an editor (many free
ones, some quite powerful IDEs) and probably (soon)
Apache Ant (a build tool - though often it is built in to
the IDEs).

Of course, all this depends on how you (personally)
go about learning a language.  Some people prefer web
based tutorials, some discussion groups*, some books,
..some even a personal tutor, or a small 'programming
support group', + a whole load of ways I did not think to
mention - or any combination of the above.

What sort of learning materials/tools do you use?

* Speaking of which, a good group for Java beginners is
comp.lang.java.help.  This group is comp.lang.java.programmer