If you're using Windows (Any version) It's advisable to download the latest version of the Sun Java Virtual Machine from www.java.com
Microsoft doesn't necessarily provide the best java support in windows by default and the Java Virtual Machine (which runs all your java apps) can be quite old and buggy in many cases.
Mac OS X users should already have it as it's built into the Mac OS. It's automatically updated via the software update utility as new versions come out.