on their site there are a couple of different download options.
after you download the file, you'll need to make it executable.
chmod u+x j2sdk-*.bin
then you can execute the file
The file will display a long licensing message and you will have to accept the terms of the license before you can install java. just type yes at the end of the message.
after that the file will extract itself.
i think the rpm version will leave an rpm file in the directory when its done.
rpm -Uvh j2sdk-1_4_2_05-linux-i586.rpm # to install it
the other version may install itself or just extract another installer. I don't remember which.