You'll first need to install the Java Development Kit (JDK). Download the latest JDK from Sun:

http://java.sun.com/javase/downloads

Once you have downloaded and installed the JDK, then you can install jGrasp (or another IDE of your choice). Here is a link to download jGrasp:

http://spider.eng.auburn.edu/user-cgi/grasp/grasp.pl?;dl=download_jgrasp.html