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I'd recommend familiarizing yourself with the concepts of object-oriented programming. are you familiar with any other languages?
nevertheless, there is a free online book that I have not used, but seems worthwhile: http://math.hws.edu/javanotes/
so i would recommend you book by Eckel B. Thinking in Java
You should check out the stanford course cs106 is an introduction to programming in java and its free, it on iTunes U
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go here and download and install the jdk NOT jre for your os. www.oracle.com/technetwork/java/javase/.../index.html.
Then look for a program called jgrasp, which is a very basic ide. Then go back to the sun oracle website and check out the api and tutorials
a good place to try some basic coding exercises for java is CodingBat.com.
I've heard the Head First Java book is pretty good for people learning Java. Granted, it covers 1.5, not the latest version. I recently picked up Sam's Teach Yourself Java and am working through it.