Apache is a free web server found at
http://www.apache.org You can use the free Apache
Tomcat as the JSP engine found at:
http://jakarta.apache.org You can download the
java runtime/development environment at
http://java.sun.com You don't compile JSP, it is compiled at runtime by the JSP engine.
There are simularities between ASP and JSP, if you know ASP,
you should pick up on JSP very quickly. The main difference is in syntax and the way you access databases. You'll find many objects that you recognize from ASP, such as session, request, response, etc.
Good luck,
Jason.