For the Standard Edition (SE) look for "Java SE 6 Documentation" on this page Java SE Downloads.
how do I set it up so that my programs will run correctly?
It comes with installation instructions.
Try this link. It appears right next to the download link.
Basically (in windows) select the downloaded zip file > File menu > Extract All. Enter the extracted folders: j2se_1.6_docs > docs > api > index. Double–click this index.html file and your javadocs will open in your browser.