Need download of java (new to java)

I recently began programming in java and need to download a version of java that is not as confusing as JBuilder 5. Should I download the JSE 1.4 sdk version or the JSE 1.4.1 version? I want a version which can handle GUI's (like JFrames and JPanels) as well as command line input
When it finishes the download should I save the download on the default location which it lists such as c:\ ? or should I save it in my Program Files directory or another?
Also, to be able to complie the programs I need to write the programs using NotePad and javac HelloWorld.java in MS DOS prompt correct? How do I get to java from MS DOS prompt after the download? (I tried it before and I downloaded it into my program files folder and doing cd c:\java in MS DOS got me errors. Should I say c:\JSEDK 1.41\java?) Finally, when saving the notepad files should it be:
1."HelloWorld.java"
2. HelloWorld.java
3. "HelloWorld".java
Thanks, all your input would surely help alot.

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