Anand, first of all, you might be posting the right questions in the wrong forum...

This forum is for those who are preparing for the Sun Certified Mobile Application Developer Certification Exam... For the general questions related to J2ME area, there is a seperate forum out there to post those questions...
Here is the link to that forum...
But I am going to answer some of ur questions before this
thread was moved to that forum...
Wht software i need to start working on this technology like server etc ?
No server needed to simulate... You might want to use Wireless Toolkit for
testing purpose...
Which IDE i use for this?
As far as I experienced, Sun's Java Studio Mobility IDE is best for me...
How I can run program into mobile like "hello word."?
You might want to have a look at samples coming with Wireless Toolkit to see how to run "hello world" in J2ME...
I have Nokia-6600. What software i need to install in my mobile etc etc etc.
You will need an application discovery software to find your MIDlet in your mobile phone...
Hope it helps...

Co-author of SCMAD Exam Guide, Author of JMADPlus
SCJP1.2, CCNA, SCWCD1.4, SCBCD1.3, SCMAD1.0, SCJA1.0, SCJP6.0