Java applications start with a main() method, java applets do not, nor do server components (EJBs, servlets, etc ...) or anything else that lives within a framework.
If you are trying to follow a Java application, then the main() method will be in the Main-class, which will be referenced in the manifest file if the application is packaged as an executable JAR file. If the application is just one class then finding the main() method is trivial.
If you are looking at the majority of modern java code though it will be written to live within a framework, which may be called from a native executable or a Java application or called through a native lib or some other of dozens of possibilities. To understand the startup of everything but applications you need to understand the lifecycle of components as defined by the framework they live within (EJB, servlet, portlet, etc ...).