I'm using Windows 8 and I have Notepad++ for coding in Java but I need a development kit for Java that can compile and run Java. I went to the website java.sun.com to download J2SE but it doesn't work.
The long answer would be to download Netbeans or eclipse which come with Java embedded inside and allow you to do full application projects. These are the tools that professional programmers use for development. The IDE editor will do code completion, colorize, look up api and a lot of other features.
The economical answer is to download the JDK from Oracle and install it and use your platform editor. However it really helps to have a syntax colorizing editor familiar with Java structure and keywords.