First, download the Wireless Toolkit from Sun. The most recent production or even the newest Beta is good.
This is an emulator, gives you the jar files you need, and can compile and other stuff.
The Editor you use is your choice. NetBeans has a nice Integration witht he Wireless Toolkit, but any
IDE will work even the free Eclipse.
You don't have to have a J2ME phone, but it is nice to be able to see you app on a real phone rather than always through the emulator in the Wireless Toolkit.
I'd also recommend Apress's Wireless Java book from Jonathan Knudsen.
Mark