You should already have the JDK installed on your computer, and you should already have optimized your computer's settings. See How to install the Java Development Kit to start programming to do that if you haven't already.
After that, you can start working on your very first Java program, and the basic one everybody starts out with is the "Hello World" program. Learn how to write the source code to make the very simple Java program, and then learn compiling and running it through the command prompt. Also, learn about Java files, class files, source code and machine/byte code. There's also some tips on how to use comments inside your code. Lastly, learn about copying the output from cmd to your source code.