I was originally going to post a short blurb on the different Java IDEs out there, but I realized that it's a highly personal choice. There's no real killer feature that distinguishes one from another. The IDE I'm using right now is Eclipse.
A short guide to getting Eclipse running from scratch:
1. Go to the downloads page on the eclipse.org website.
2. Click on the main download site
3. Select the latest version available(currently 3.0M8)
4. Select your operating system.
5. The download will start now.
6. Unzip the file to any location you choose
7. In the eclipse directory, double click on "eclipse.exe". It's the one with an eclipse icon.
Eclipse will start up immediately. No installation required. At this point, you may want to create a shortcut for Eclipse on your desktop or start menu.
I would definitely recommend going through the help contents, which can be accessed from the "Help" menu bar. For standard users, you can go through the "Workbench User Guide" and the "Java Development User Guide".
I'll be taking a short vacation in Australia with my family. Be back next week.