I know absolutely nothing about programming but I am facinated by it so I decided to give it a try. Pretty hard stuff to figure out on your own though.
I downloaded the jdk and finally got something compiled but when I went to open the .class file the compiler created it didnt know what to open it with. I cant find java virtual machine anywhere while browsing the list either.
Aha! You are horribly confused. Brings back memories of my first effort at programming (though java didn't exist back then, so you're lucky).
What the compiler (javac) does is create bytecode which can be read by the jvm. You asked how to open the program, but assuming you made a working source code file with a proper main then you can run the program with the (java) command. so:
javac MyHelloWorld.java <-- you already did that java MyHelloWorld <-- now try this