Hello!! Welcome to the forums!
First, download and install:
If you don't have the lego nxt software installed, do so.
Next, set the environment variable LEJOS_HOME to the full path of the lejos_nxj directory.
Add the lejos_nxj/bin directory to your PATH.
Here is a sample program to test:
Open a command window
Check that java and lejos are on your PATH
Change to the lejos samples\Tune directory
Type lejosjc Tune.java
Type lejoslink Tune -o Tune.bin
Check that your USB cable is connected
Press the orange button to turn on the NXT
Check that the NXT is in firmware update mode. Put it in it by pressing the reset button for more than 4 secs. The screen should be blank and the NXT should be audibly clicking.
Type lejosdl Tune.bin
A tune should play
When you use lejosdl your program will download and run. You can stop a program by pressing the ENTER and ESCAPE (orange and grey square) buttons together. This powers down the NXT immediately. Press the ENTER (orange) button to wake it up again.
You can also power down the NXT with ENTER + ESCAPE, after an Exception occurs.
You can program in a simple text editor like notepad and save as .java or you could use such editors as Eclipse. If you do use eclipse, the simplest way to set up lejos in it is to rightclick on your project and choose properties. Select "Java Build Path" and then Libraries. Click on the JRE library and press remove. "Add External JAR" and choose the classes.jar in your lejos directory/lib. That will get you started up!!
If you want some preliminary help with Java programming or beginning lejos, you can read this: