1. I won't explain in too much detail about packages, but you can either install with the GUI by going to the menu: System->Configuration-> Packaging. Or you can try using urpmi. You will probably want to google for easy urpmi first to see how to set it up. It makes everything a lot easier.
http://easyurpmi.zarb.org/
2. For Java, I think that they have some easy instructions on the Sun site that you can use. I found this page:
http://java.sun.com/j2se/1.4.2/install-linux.html
3. Cygwin is just a way to have a linux environment in Windows.
I hope that this this is helpful.