You will need an Integrated Development Environment to code. While you are free to download any IDE you like, I can't guarantee I'll be able to answer questions you may have. Therefore, I recommend you use NetBeans.
Here is the link for the NetBeans download page. For this course, the Java SE version (the most basic) will suffice. If you are on a Windows machine, you will also need to download the Java Development Kit. Clicking on installer will launch the installation wizard, which should take care of everything from there. If you need help with the installation, you can go here. If you need further help, please feel free e-mail me.
To start coding, you will first need to create a new project and a new file. A project contains all of the packages and files necessary to execute a program. Click on File > New Project or click the icon of a box with a green plus sign to bring up a window. For a standard java program (like the ones you'll be writing in this class), make sure the "Java" category and the "Java Application" project are highlighted. Click "Next" and name the project. The default settings for everything else are fine. Click "Finish" to bring up a template of a program.
The template consists of the package (project) you just created and named, a Main class which will encapsulate the program, and a main method which will contain all the executable statements. To verify you have installed everything properly, you should run a test program. For example, write the following line where it says "// TODO code application logic here":
NetBeans compiles the code dynamically as you write it, so to execute your program simply click Run > Run Main Project or click the icon of green arrow. Congratulations! You've just written your first Java program!
Here is a link to some NetBeans tutorials you can peruse. Again, if you need any help, I'm available via e-mail.