Thanks for the info guys. I've downloaded JDK but have know idea how to run it.
I would like to get a good understanding of every aspect of game creating. If I feel like I'm progressing and learning new things I will put my all into it. I just need to get my head around this first step.
Getting a program running (java), so I can start writing lol
Start small. Very small. Just about every programmer's first step is just getting the language to print "Hello World" on some kind of form or display. There's a reason for that - It's the simplest complete program you can write; it verifies that everything is working and it gives a nice sense of "oh, ok."
Next, get the program to ask your name and say "hello" to you.
Mess around with input and output for a bit.
Write a "Guess-my-number" game.
Read about good coding practices and refactor (re-write, re-format and edit) your game to conform to them. Your implementation probably won't be the best, but this is all just to get you started.
By now, you should have a taste of programming. You're probably bored with what you're doing at this point. The question is, do you feel interested in learning more and writing better programs? This is the critical question. Don't worry about that at this point; write some more practice programs. Find ideas (tic-tac-toe? Hangman?) on the internet and code them. Don't worry too much about graphics at this point.
Once you've got a few done, write one of them with a graphical interface. You can find free game art links in the art forum; generally, it's for non-commercial (free) use only. Alternately, whether or not you've got any art talent, open up Paint and draw some stuff. Doesn't matter if it's "bad art"; we all know that. It's called "Programmer Art".

Still interested? Keep going. At this point, you'll have a real idea. Not interested? Consider whether it's because you're not challenged or really making much (although it's probably much more than you've written before) or, if you're not interested in programming. That's perfectly ok; best to find out now, rather than ten years later in a carreer you hate.

If you are still interested or are looking forward to real games, pick a simple game. Define everything that will be in it - Make it a short list. Define how you're going to implement that stuff. Then, write it. Stick to the plan, for the most part - Be flexible, but not inconsistant or indecisive. This will be your first original, solely-yours project. It's a good feeling.

Have fun.