You can set it in either /etc/profile or ~/.bash_profile (.bash_profile being in your home directory). /etc/profile is system wide while .bash_profile is specific to you. If you open either of those files in a text editor you'll see a PATH= line with directory locations separated by colons.

I set my PATH in my .bash_profile file. Mine looks like this:

PATH=$PATH:$HOME/bin:/usr/java/jdk1.3.1/bin

Yours will be similar but probably different. Open a terminal and type:

which java

That should give you a full path to your java executable. Copy everything from that up to the bin directory (ie /usr/java/BlahBlah/bin) and add that line of text onto the end of your PATH= line.

Log out, log back in and test your handiwork by opening a terminal and typing:

java -version

You should see the version information for java.