I downloaded some java file and i dont know where to put it or how to open it
You can save the files anywhere on your disk. You must have a Java Runtime Environment (jre) installed as a minimum. You could get one from http://java.sun.com Get the latest version of course. If you plan on doing any development you will probably want J2SE http://java.sun.com/j2se/1.4.1/download.html

java must be in the environment path as a minimum.

To run a program.
Java [program name]

example
C:\>java javaProgram



Where javaProgram is on your disk as javaProgram.class. Don’t use the “.class” extension when you try to run the program.

Files ending with ".class" are the compiled Java programs where as files ending with ".java" are the source files.