Short version: Java is a programming language developed by Sun to allow a program to be written once and run on multiple platforms (e.g. Windows and Macintosh). Microsoft developed its own Windows-only version, defeating the purpose of Java. Sun sued Microsoft and won.

The court ruled that MS had to remove its special version of Java from Windows, which it did-- but MS replaced it with an old, outdated version. That is why programs written for modern Java versions won't work in Windows XP.

As ScottC suggested, go to www.java.com and click the "Free Download" option in the top right corner to make sure you have the latest version installed.