I went to the java.sun.com website to download Java 2 SDK. I selected to save it to my desktop and when it finishes downloading the icon on the desktop is one of those that ask you what program to open it with. I have downloaded like 3 different things and they all do the same thing (the white icon with the Windows symbol in the center of it). Do I need to download anything else or what?

What is the exact name of the file you downloaded, especially the extension.

Here's a run through of what links to click to ensure you're getting the right thing.

On the front page there should be a section called "Popular Downloads". Click the "J2SE 5.0" link.
Under the section "JDK 5.0 Update 3", click the link saying "Download JDK 5.0 Update 3".
This should give you a licensing agreement screen. Move to the bottom and agree to the agreement.
Under the "J2SE(TM) Development Kit 5.0 Update 3, Windows Platform" area will be two options - Online & Offline installation. I would choose the Online installation. Then when asked - click run/open, not save.
This should kick off the installation process and install Java.



Still answer Scott's question though. Might save you downloading something again.

That process really helps, I think I downloaded the wrong thing in the first place. I didn't know exactly what I was looking for.