Hi Hans,
Welcome to JavaRanch!
You've posted this question in a corner of the Ranch which is reserved for product announcements and other advertisements, so I think people are unsure of what to do. I'm going to try to answer your question, and then I'm going to move this to our
Java in General (Beginner) forum for follow-ups.
Where and what the "command line" is, exactly, depends on your operating system. I'm going to guess you're running some version of Windows -- if you tell us the exact version, we could be more specific. But if it's Windows XP or similar, then push your "start" button, pick "Run..." near the bottom, and type "cmd.exe" into text box, and press Enter. A black window should pop up: that's the command line.
Now, try to follow
this tutorial, which introduces all the ideas you'll need. Good luck!