Command line prompt

I am reading a book and it requires for me to go to a command line prompt for J2EE and type > java -version.
I am using windsows XP as my platform.
What file should I execute so I can open a window so I can get a command line prompt? And what is this window called?

cmd
in windows start menu - type
cmd
then enter
called 'Command Prompt' in windows

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    Well, Apple Support does have articles on:
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    http://docs.info.apple.com/article.html?artnum=25392
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