It depends on your personal taste. If I was you, I would probably download the SDK for linux, - but then again, if I was you, I would install linux first...

That's a tough one!

Temporarily you could try downloading the JRE for Windows (either English only or all languages, whatever you prefer), accept the license agreement and try downloading from any one of the possible locations.

http://java.sun.com/j2se/1.4/download.html