In order to learn Java there are many ways. But I am going to explain you the easiest way to do so.

First buy  book called Head First Java, 2nd Edition [ILLUSTRATED] (Paperback) or download it whatever way you prefer.

Secondly install Eclipse in your machine in this way you will get Java SDK and IDE as well, top of that it is free software. You can get eclipse in http://www.eclipse.org/downloads/
Here are the steps
Select and download Eclipse Classic 3.4 ---> Unzip it in place where you want this program to be ----> Then click program file inside that unzipped folder.

Unlike other software you don't have to go through installation process for Eclipse.

Now you can start learning JAVA

Happy Coding...........

FYI: You can also find many videos in YouTube regarding JAVA, which may help you to learn it