You could go with the free version of JCreator
(http://www.jcreator.com).

However, if you're starting out, it would be a good idea to just use
an editor with syntax highlighting and use the command line to
compile your programs. It gives you more insight in the workings of
the Java development process.

Later on, you can switch to a full-fledged IDE and have an advantage  
because you know what's going on behind the screen.

Just my opinion,
Wald

Take a look at Zeus:

   http://www.zeusedit.com/lookmain.html

Zeus can be easily configured to support the java compiler and
if you create a Zeus project workspace, you even get class browsing
and code completion.

Jussi Jumppanen
Author of: Zeus for Windows (All new version 3.90 out now)
"The C/C++, Cobol, Java, HTML, Python, PHP, Perl programmer's editor"
Home Page: http://www.zeusedit.com

One of the most popular IDEs for Java is Eclipse (www.eclipse.org).
Its completely free and has everything you wish. It outweighs many of
the others mentioned. You'll also notice the difference in performance
of the IDE.
Many companies use it now, so you'll be well prepared.
There are also many plugins for integration with the likes of Junit,
Ant, Tomcat, JBoss, etc.
Once you run it, try the quick tour options to learn some of the nice
handle little bits like holding keys to turn methods into hyperlinks
so you can easily click through to their definitions.

Regards,
Simon

http://www.javawebexam.com