You can use the WTK,
java.sun.com/products/sjwtoolkit/download-2_1.html, to capture your midlet pagaes.

Also Symbian SDKs are available to download:
www.forum.nokia.com/.../index.html
You can run  some scripts to execute your sis files on emulators.

In addition, for specific cell-phone brands such as LG, Samsung,... some emulators  are offered;
for example, Sony Ericsson has delivered developer.sonyericsson.com/.../p_java.jsp as an j2me ToolKit.

However, at first you need to choose the platform on which your application should be run.