Everything you need to develop Java applications is completely free. To get a compiler, simply go to java.sun.com under J2EE v1.4 Downloads. Further, if you were actually referring to a good Java IDE — that's also free, and available from the aforementioned location. It's called netBeans and it's a fairly decent Java IDE. Other options include JCreator if you're on Windows, or Eclipse regardless of your platform. Both are quite good.
Java is a fully-featured Object Oriented programming language, thus making it quite extensive and hard to learn from internet tutorials. I would suggest you buy a book on the basics of Java, esprecially if your just beginning programming or you have a procedural programming background.
This will make the whole process much simpler.