Best is - if you install the JDK6.0 from Sun website. It's of course
free and you could start coding immediately with your favourite
editor.
However, if you dont mind having a nice IDE - I would definately
recommend Eclipse. It is very powerful and totally free - in
addition there are numerous plugins for Eclipse so that you can use
it for various purposes (XML, HTML, JavaScript, PHP, C++ ...)
There is also Netbeans - which seems also good - personally I prefer
Eclipse though !
If you need help - setting up a project in Eclipse - just let me know.
IDE's can be a bit confusing in the beginning - but in the long term
it is really worth using one!