You may think it strange, in this age of GUI (Graphical User Interface) programs, that Java programs have to be compiled and run by typing in command lines. Here are some good reasons why.
On Windows, a command window is created by choosing a menu item such as Command Prompt or DOS Prompt from the Start menu, under Programs or Programs/Accessories. Once you have a command window, you can type in commands such as cd to change directory, and run programs such as javac and java.
On Unix, it is common to create command windows by choosing a Terminal or Console or xterm entry from a menu (e.g. the right mouse menu on the desktop). Inside the window, a shell program reads command lines that you type in, and prints output. You can replace the shell with a different one. Various shells supporting different features are available, with names ending in sh such as bash or csh.