Forget about SDK, it is not related to Java, just a general term which might confuse you.
There are 3 Java distributions: Java SE (J2SE), Java ME (J2ME) and Java EE (J2EE). Java EE is for enterprise applications. If you develop web applications or server side applications (which will run on applications servers) like an application for a bank which will server millions of users every day, then J2EE is for you.
Java ME is for low power devices like Palm or mobile phones. They need to have simpler APIs with low cpu requirements. This is why we also have Java ME.
And Java SE is the core. This is what Java when it is first released! Later when new areas (enterprise and mobile applications) emerged, to have Java SE in a reasonable size, Java engineers separated those two parts from Java SE. Client side applications like Swing or console applications are developed with this **SDK**. So if you are new to Java and want to learn Java, you will start with Java SE.
All you need is to go to
Java Technology and download the SDK (Java SE, ME or EE) you need. And don't forget to download documentation from the same web page. Java SE documentation is very useful for a newbie.