Before u start with ur First Program u have to install JDK on ur PC for more installation Refrence
Step 1:
Open notepad
(Click on "Start-button" then "Run" type Notepad)
Step 2:
Now type the following codes in that notepad
class SayHello
{
public static void main(String[] args)
{
System.out.print("SAY_HELLO");
}
}
Step 3:
save it in"C:/java/Jdk/bin"with the name same as that main class is having and with the extention of".java"
"SayHello.java"
also make the file type as "All Files"

step 4:
now the time of compiling
Open "CMD"(command promt) and write the following cammand.(after each command click Enter.)
cd\
cd java\jdk\bin
javac SayHello.java
java SayHello
