On sun's site, it's called Java 1.4.x (whatever the current point release is) SDK. Don't go to
www.sun.com, go to
java.sun.com. Easy to find.
Also, as far as an IDE, while I used to love Xemacs, I'm a huge Netbeans fan now.
www.netbeans.org
It's an open-source project, so it doesn't cost money to use unlike Borland's stuff.
Oh, and while J2EE is cool, it's probably not what you want. J2EE has to do more with web services. You want J2SE.