So you downloaded the JDK API (Application program interface - the thing that you work in)? What version did you download?
Have you opened it up? (should have a screen that looks a bit blank and complex with File View etc on the toolbar at the top)
The best advice is to do some reading as suggested before - get a grasp of the basics first. There are also some decent online video tutorials i found useful in the past, again google is your friend.