Java applications? In order to test them you will need the JRE (Java Runtime Envirnonment), in order to make them you will need the JDK (Java Development Kit), both of which can be obtained from http://java.sun.com Once you have these two things you should be able to make programs using any text editor (Notepad, Emacs, Vi, Microsoft Word, etc.) and run them using a command line.
Or you can download and use the NetBeens for compiling and running your programs. It is very nice platform similar to .NET environment if you are familiar with it. Or Download BlueJ, which is another compiler program. I personally like to use blueJ even though it crashes sometimes.