First of all I think you should do some searching through the archives, because as far as I know this is the basic question of J2ee (aka J EE).
When I first started, I used to write servlets, then started coding jsps, and then some frameworks. I also suggest you to learn some brief information on servlets and jsp. because every framework you see is based on servlets.
Here are some links:
But just get the brief information. Because we use frameworks instead of these technologies.
I assume that you know the basis of the language, bu just in case be sure to read all these stuff. They are just the basics:
And then you can select a framework to use, like struts, jsf, spring, seam and so... Depending on what you want to do. But I think you still have several months before you can end studying frameworks.
Some recommended reading:
Thinking in java : http://www.mindview.net/Books/TIJ/
I think this is a must-read for every java developer.
And start searching stuff.