New to Java

Hi,

to be able to write and run the following on Windows from a "dot"java file :

public class HelloWorld {

  public static void main(String[] args) {
  System.out.println("HelloWorld");
  }

}

Should I install Development Kit (J2SDK) ?

If yes what is the last version ? Where can I download ? Can you be kind to give me the URL ?

Thank you.