Yesterday I tried to download Java so I could hear the “Love Betrayed” sound bite on the Snopes Urban Legend website. Although it took about an hour and a half for the downloading, my computer has no record of Java (In Add/Remove Programs), and I still can’t play the bit. What’s the deal?
You talk about downloading it, but did you actually install it?
Also, what version of Windows are you on?
If you have Firefox, it will automatically download and install the correct runtime.
My guess would be that you downloaded the full development kit and then didn’t install it. Just the runtime should be downloadable in a few minutes max.
I have AOL 9.0; Windows XP; Word 2000.
Obviously downloading and installing it isn’t the same thing, but the filename is not “java” so using the search feature doesn’t turn it up that easily. 
Obviously I’ve missed something.
Now, if you had Firefox, when you download something, you’d have the Download Window, which contains a history of all files you downloaded so you can find and open them…
But, in your case you’ll probably want to go back to the Sun site and find the file you downloaded so that you can see what the name was. It’s probably either a .zip, .exe, or .msi file though.
Look for a file name beginning with ‘jre’ and ending in ‘.exe’. You may have inadvertently downloaded a developers kit, in which case look for something beginning ‘jdk’