Yep that's right.
So you want to download the 'Windows Platform - J2SE(TM) Runtime Environment 5.0 update 11'.
Put a tick in the box next to 'Windows Offline Installation, Multi Language', then highlight the link & click on it. You should see a popup box with options to save the file & once you choose to save the file, the download should start.

If it's not downloading, try using a different browser...see if that makes a difference.