You first need to have the Java Platform Java Development Kit (JDK). Note that you need the JDK not just the Java Runtime Environment (JRE). There are several versions of Java and you probably want the Java Standard Edition, Java SE. You can download the JDK for free from http://www.oracle.com/technetwork/java/javase/downloads/index.html Note that there are different versions for 32 bit Windows and 64 bit Windows. If you do not know if you have a 32 or 64 bit version of Windows, you can always use the 32 bit version. Once you download the program, you must install it. The installation defaults should work for most situations.
After installing the Java JDK, you can download the jGRASP IDE from www.jGRASP.org Be sure to download the appropriate version for your system, either Windows, Mac OS X or Linux. Execute the downloaded program and it should install using all the defaults. You must first install the Java JDK before you install jGRASP.