One of the best ways to start out on Windows is probably with Jcreator. There
is a free version available that is just right for a beginner. You can get it
at http://www.jcreator.com/

You will need to have the java  SDK installed before installing Jcreator (or just
about any Java IDE). You can get that at
http://java.sun.com/j2se/1.4/download.html

Make sure you get the full SDK and not just the runtime environment.