Go to java.sun.com and download the latest version of the JDK for your operating system. For the purpose of this book the version of Java you need is called Java2 Standard Edition (J2EE). The naming convention for Java is very confusing, because the names used seem to vary according to who is writing about it within Sun. Thus the version at the time of writing is called both Java 5 and Java2, but the development kit is called JDK1.5. Because the JDK naming convention seems to have been most consistent I'll refer to that.
The home page for J2SE is http://java.sun.com/j2se
Unfortunately Sun seems to change the pages quite a bit for downloading Java but the J2SE homepage has a popular downloads section on the right hand side that will usually indicate the latest greatest and most popular version. Once you select this option itcan still be slightly confusing as the most prominent link tends to be the bundled combination of the NetBeans IDE and the JDK. I am recommending you go for the plain JDK, as working with NetBeans is a whole additional set of learning, even though it is a very powerful and impressive tool.
The JDK download is available in either an online or offline version. I recommend the offline version as this downloads all required files and can easily be transferred to another machine. The online version is simply a small stub program that performs the download. The actual JDK download for Windows is a standard executable (i.e. An .exe program). You will need either a good Internet connection or plenty of patience as the JDK is over 50 megabytes. Once installed the JDK expands significantly. The version I installed at the time of writing occupied around 180MB of disk space.
I also recommend you download the API documentation, which is a separate download to the JDK. The API documentation is in the form of HTML files and is an excellent technical guide to how to use the code and classes in the language, but again it does occupy a reasonably significant amount of disk space. You can also view the contents over the web at http://java.sun.com/j2se/1.5.0/docs/api