First, do you have any Java already installed? Look in the Window add/remove program list.
If you find a Java entry with a version of 5.0, then you have the latest. If you find a Java version of 1.4.2_06 or 1.4.2_05, while they are not the latest, they should be just fine for most all purposes.
Earlier versions can be used if no problems are being experienced. If you wish to update an earlier version I STRONGLY recommend that you remove the existing version (via Windows) first, problems will be less likely. To automatically install version 1.4.2_06, go to http://www.java.com
To install (manually) version 5.0, go to http://java.sun.com/j2se/1.5.0/download.jsp
If you want to create Java programs, you will want to download the JDK.
If you want to run but not create Java programs, you will want to download the JRE
(unless you are having problems, a reasonable solution - if you have an existing version that starts "1.4.2..." - is to use it .)