JVM = Java Virtual Machine; the bare engine that runs Java bytecode. JRE = Java Runtime Environment = JVM + libraries and other programs that you need to be able to run Java programs on your computer. JDK = Java Development Kit = JRE + Java compiler and other tools that you need to be able to compile and run your own Java programs.
If you want to develop Java software, you need to download and install the JDK.
Are you having problems downloading and / or installing Java on your computer? If yes, then please let us know in detail what you have tried and where you get stuck. Do you get error messages?
See Getting Started in Sun's Java tutorials. [ March 25, 2008: Message edited by: Jesper Young ]