How to install jdk1.4 in linux as well as how to set classpasth
How to install j2ee1.4 application server in linux
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You get j2se from here (jdk):
It's probably available as a rpm and a .bin file, so read up about using rpms. Add $JAVA_HOME/bin to your path.
A classpath is an env variable like any other (e.g. PATH)
As for j2ee servers, choose the one you want (i'm assuming you're OS), download and follow intructions.