You need to install 3 different components to run all the programs we will study on your own computer. The following describes the process for a Windows machine (Vista, here). The principle remains the same for Mac and Linux, but some more or less important details vary.
Java. You need the Java Development Kit (JDK). You can download it from Sun's website here. JDK 6 Update 16 worked for me; following the link should lead you here:

The Dr Java CD contains an older version of Java; you can install it by displaying the content of the CD, going to Java, then 1.5, and running the Launcher (the funny icon on the picture here):

Dr Java. The CD contains a version of Dr Java, but I didn't manage to make it run smoothly. My way out was to download it from here: get the current stable release. You will be asked whether to run or save the program. Save it in a dedicated folder; I used a folder called Dr Java on the Desktop.
At this point, you should be able to start Dr Java. If it complains about a missing "tools.jar", you will have to enter the location. Go to Edit, then Preferences and put the correct entry in "Tools.jar location". Start from Program Files, go to Java, then the version of JDK you installed, and lib; there should be a tools.jar there. After selecting it, it should look like this:

Now, you should be able to run the examples seen in class and in the labs that do not involve Worlds, or Turtles.
The book's classes. These will be needed to use Turtles, and the multimedia content described in the book. Our Useful Links page explains how to download the files and install them. In the following example, I created a subfolder BookClasses in the Dr Java folder to put them; then I indicate where these classes are in the Extra Classpath box:
