JRE Install How-To
At http://java.sun.com/javase/, please first go to the downloads section (unfortunately, there is no sense in explaining all this in detail here because the guys at Sun change this procedure all the time so that I would be kept busy just by updating this howto); now please follow the download-link "Java Runtime Environment (JRE)" and choose the "Windows Offline Installation" version.
After you have finished the download, please start the installation by a double click on the file just downloaded; then you will be guided through the rest of the installation by the installation wizard.