Execute it and follow the instructions to install it.
First, Set up JAVA_HOME environment variable pointing to JDK directory. By default, on windows, its going to be C:\Program Files\Java\jdk1.6.0_06. You can set it up ..
My Computer (Right Click) -> Properties -> Advanced -> Environment Variables -> New and then set up variable name and value. Here is the snap shot..
Same way extend the PATH variable with the bin directory of jdk.
My Computer (Right Click) -> Properties -> Advanced -> Environment Variables -> Path and then EDIT. Add ";C:\Program Files\Java\jdk1.6.0_06\bin" at the end of the path value.
Also, you can extend the path as shown below, but its just temporary for that session.
set PATH=%PATH%;"C:\Program Files\Java\jdk1.6.0_06\bin"
To verify successful installation, open new command line window and type "javac -version" and "java -version".
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