You can download some free IDE (Integrated Development Environment), which provides you a text editor with all sorts of workflow support like compiling a whole project with a single click, etc.

Some good ones:

NetBeans

Eclipse

Oracle JDeveloper

Borland JBuilder

The problem with using IDEs is that you need to spend some time banging your head against the wall to learn how to make use of the IDE. One of the essential concepts to get to know before you are familiar with the IDE is the concept of a project. Most IDEs have some sort of "project" or "workspace" concept which encapsulates certain source code and can be built by a single click. However, the project/workspace isn't always too intuitive...

If you don't want to mess with the IDEs' compilation support, you can always use Ant scripts for compiling your project (See jakarta.apache.org for more info on Ant).