I had a confusion once, so i thought of putting it in my Blog, may be It could be a help for someone:
Do you want to run JavaTM programs, or do you want to develop Java programs? If you want to run Java programs, but not develop them, download the Java Runtime Environment, or JRETM.
If you want to develop applications for Java, download the Java Development Kit, or JDKTM. The JDK includes the JRE, so you do not have to download both separately.