These instructions assume that you are familiar with a command-line system such as DOS (also known as the Command Prompt window for Windows), a Linux or Unix "shell", or the Macintosh terminal

1. Connect to the folder containing a Java program you'd like to run.  If you want to create or edit a ".java" file, use your favorite text editor.
2. To compile a Java class, use the javac command (stands for "java compiler").  If your class is called MyClass, it would be in the file MyClass.java and you would type javac MyClass.java.  If there are errors, you'll see them on the screen under your command.  If there are no errors, you'll just get a new command prompt after a short pause.
3. The javac program is pretty clever about compilation order.  When you tell it to compile a class, it actually compiles not only that class but also any classes used by that class which need to be recompiled (i.e. the .java file is newer than the .class file).  So if you've got a program with many classes, you don't need to compile each one separately.  Just ask javac to compile the main class and it will take care of everything.
4. Once your program is compiled, use the java command to run it.  If  MyClass is the main class in your program, type java MyClass. After a short pause, you will see the output of your program on the screen under your command.
5. The picky thing you have to remember is that with javac you must type ".java" after the class name.  With java, you use the class name by itself (no .class).

Answer: This error message could mean that you haven't installed a JDK on your computer. But it could also just mean that DOS or Linux just can't find it. Find the directory that contains the javac and java commands and add it to your PATH variable. If you're running Windows and don't know how to change your path, do a Google for "Windows environment variables", adding the name of the Windows version that you're running. You'll find many good explanations.