You can produce your Java program with Eclipse or a text editor.
Start a cmd window (e.g. Start>Run> cmd on wIndows XP), and make sure you have NXJ_HOME set and your PATH includes the Java JDK bin directory and lejos_nxj\bin - see the README..html file.
cd to the directory containing your Java source.
Then compile you program with nxjc, e.g:
and link and download it with nxj, e.g: