The JavaSoft home page gives lots of information on the Java language.
If you want to use Borland JBuilder personal version as your Java programming environment, download it from here.
If you want to use BlueJ as your Java programming environment, download it from here and go through the tutorial. You will have to install Java SDK (e.g., J2SE SDK 1.4.x, I will tell you soon which version to use) before you install BlueJ though (see below).