Hi -
The method sjr suggested, setting the Javadoc location using "Package Explorer, JRE System Library, Javadoc location" is *the* way to do it under Eclipse. That's by design: Sun ships the Javadoc separately from the SDK, and Eclipse needs to provide you as much flexibility as you need to access your documentation.
It's not necessary to point to the remote URL, however.
On my system, I simply download the Javadoc from
http://java.sun.com (it's in a .zip file), and modify package explorer to use the Javadoc on my hard drive. It's fast, and effective.
Just FYI, NetBeans works the same way.