You don't need to download anything. If you have a Java compiler or an IDE, then you just need to program a game. Think how you want it to work & write the code. There is no magic 'how to', you just have to do it.
If it were simple, then everyone would do it. If you want it bad enough, you'll learn
First familiarize yourself with Java. When you can write simple applications and run them (check this forum for examples, like hangman, mortgage calculator, etc.) (as no2pencil wrote it only requires the JDK, it is available with a bundled IDE from Sun)
Then check out how libraries work.
After that read some on game, graphics and network programming, not much, just to get the hang of it.
Look for a framework that makes sense to you, not too complicated, but low level enough for whatever you need it for. Download the required libraries.
Put the whole thing together, and program your game.