Where is the file jre-1_5_0_06-linux-i586.bin located? Apparently it isn't in /usr, which is your working directory that you are attempting to chmod in. If it is in /usr/java, remove the space in the cd command to read cd /usr/java and use your commands.
If it isn't in /usr/java, then when you know the path to the file, your commands above or do this:
Open an x terminal and command:
(give root password, the - will give full root power and paths)
chmod 755 /path/to/jre-1_5_0_06-linux-i586.bin (makes it executable so that you can run it)
/path/to/jre-1_5_0_06-linux-i586.bin (runs the binary install file, accept the license agreement and it will then install)
I have Linux installed, now how do I do stuff like installing more software?
# I can't figure out what software I want and how to install/uninstall it
The table of equivalents, replacements, analogs of Windows software in Linux
# Find software here
# Guides to software management
LNAG: 4.5 Package installation and rpm package manager
Rute Guide's software explanation