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.
Moreover, I'm moving your thread to the "other" section because Java and JavaScript are not the same.
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.
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