The "standard" free Java IDE these days is Eclipse, from: http://eclipse.org/
Once you un-cross your eyes after reading about it and trying to figure out how to use it, it's actually a pretty good toolset. I believe you will still need to download a Java Development Kit (JDK) as uart says above. The JDK will give you all the stuff you really need to compile and run programs from a console window, but Eclipse puts it all into a nice GUI and has a "fairly intuitive" debugger.
Thank you for helping me. I have installed Java JDK 7 for windows x86. Now, where should I write program and run? Is there any interface where I could write the code and compile in it? Should I use Notepad?