It's binary - [like an exe] just run it with ./filename
I thought you might ask that so I posted that second link - there is detailed install info link in that section of their site. Just carefully follow any installation instructions.
the instructions are one click away from the last link I gave you - please read instructions for ANYTHING you are trying to install. Believe me - it will help!
INSTALLATION INSTRUCTIONS:
http://java.sun.com/j2se/1.4.2/jre/install-linux.html