First, get your Java runtime engine JRE and your Java development kit JDK. The simple JDK is what you want. Install Eclipse, which is just a matter of downloading the latest version and putting the files somewhere. You have to set the path so that eclipse can call Java. To set your path follow the instructions at step 4 at this link.
If you have done all this, now you simply have to start eclipse and create a new Java project. To make a HelloWorld, create a project, then a package, and then in that package create a class and just be sure to click on "Public static void main" checkbox. In the main body write
and you are done.