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Run the installer
Run the self-extracting binary that you downloaded. This will use the familiar InstallShield wizard to ask you a few questions. Select a suitable installation directory, e.g. C:\Programs\Javasoft, and you're basically done.
Adjust PATH
In order to run the Java command-line applications conveniently, add the bin directory, e.g. C:\Programs\Javasoft\JRE\1.3.1\bin to your PATH environment variable. Use the procedure outlined previously.
Fix CLASSPATH
In older versions of the Java Runtime Engine, the environment variable CLASSPATH was used to locate additional Java classes. The use of this environment variable is discouraged in newer versions, and a command-line switch for java and related tools should be used instead. To avoid conflicts, you should check whether this variable is set on your system. Unless specific tools other than the Java tools need it, you should remove it.