Before installing, you should make sure your system has a properly installed java virtual machine. Make sure to install a JDK and not a JRE (a Java Runtime Environment).
If you intend to run the full OpenWFE suite, you should have a JDK (Java Dev Kit) and not only a JRE (Java Runtime Environment). The web interface needs the java compiler in order to turn jsp pages into servlet bytecode.
You should have at least a Java 1.4.0 virtual machine. Earlier versions won't work.
On the windows platform, you should use at least the 1.4.1 JDK.
You can find a JDK at http://java.sun.com