it does seem a bit much going for MicroEdition,
i'd suggest working your way up
JavaScript -> Java2 -> Java2ME, especially is its less of an actual language and more of an APi to allow you wrapper your Java versions to Mobile Devices (particularly Cellphones)
there should be a compiler included with SDK, if not then Sun Studio4 has one (cept you have to pay for that), Borland JBuilder also has a compiler, thing that ones free ... and Microsoft also have one J# (no longer in production so will be cheap).
personally i'd suggest JBuilder as most tutorials on the net and Sun site you'll find pick that.
http://java.sun.com - Java Official Site
http://www.borland.com - Borland's Site
http://www.msdn.com - Microsoft Developers Site