I will recommend using the Eclipse IDE and will use it in class examples.
Another very similar IDE is NetBeans, which can be downloaded from Oracle's site together with the JDK.
Both these IDE's provide a single place to:
- Write java programs
- Compile
- Execute
- Debug (E.g., step through execution one instruction at a time)
Instructions for installing and using Eclipse are also on the Documents page.
Note that the JDK should be installed first and then Eclipse (except for Mac's).