The JDK is the
Java
Development
Kit, and it contains the Java compiler. The compiler takes the source code you write in ordinary text and turns it into class files. These class files are binary files that are later executed when you run your program.
The general steps are
* write your code in a text editor (Notepad, Notepad++, or
TextPad on Windows or Kate on Linux - my favourites - or any of the zillions of others)
* compile your code using the compiler supplied by the JDK
* run your code using a Java runtime. (For completeness the Java runtime is often called the JRE. That's the thing users have to download to run your code, or run stuff in their browsers etc. It doesn't include a compiler.)
Notepad and Notepad++ are text editors for Windows. So you would use them to write the source code which you later compile and run.
Integrated
Development
Environments are pieces of software that combine a text editor with the ability to do the compile and run steps. (and much more). I don't recommend you bother with an IDE until you are comfortable with what is involved in compiling your source code, ie can compile what you want from the command line using the JDK compiler.
A very good place to start is
"Hello World!" for Microsoft Windows near the start of Oracle's extensive Tutorial.