Go to http://java.sun.com and click on Downloads, then select Java SE, then click the Download JDK button, then select Windows in the dropdown (even if you have Windows x64 computer), then click the Download button, then click skip this step in the gray box, then click on jdk-6u20-windows-i586.exe link, then save jdk-6u20-windows-i586.exe to your hard drive.
Double click on jdk-6u20-windows-i586.exe and follow the instructions.
It will install the JDK to: C:\Program Files (x86)\Java\jdk1.6.0_20
And it will install the JRE to: C:\Program Files (x86)\Java\jre6
NOTE: You should probably leave the default directories, for Java to install in... I have changed them in the past, and then had problems.