What's happening when you compile and run a Java program:

When you compile in JCreator, it runs the javac.exe program of the
JDK. When you execute a compiled Java program in JCreator, it runs the
java.exe program of the JDK. Look in the bin folder of the JDK folder
to see these files.

Both javac and java can be run manually from the Windows command prompt:
1. Start | Run | cmd   starts a command prompt.
2. cd to the folder your source file is in.  
3. You will have to give the full path to the javac and java programs:
3a. to compile:

   "C:\Program Files\Java\jdk1.5.0_01\bin\javac" HelloWorld.java

(or wherever your JDK is.  Note the " are needed because of the space)
3b. to execute:

   "C:\Program Files\Java\jdk1.5.0_01\bin\java" HelloWorld 


To avoid having to indicate the full path to the programs, modify the
PATH variable to include the JDK's bin folder:
 Choose Start, Settings, Control Panel, and double-click System. On
 Microsoft Windows NT, select the Environment tab; on Microsoft
 Windows 2000/XP select the Advanced tab and then Environment
 Variables. Look for "Path" in the User Variables and System
 Variables. If you're not sure where to add the path, add it to the
 right end of the "Path" in the User Variables. A typical value for
 PATH is:
     C:\Program Files\Java\jdk1.5.0_<version>\bin 
 Capitalization doesn't matter. Click "Set", "OK" or "Apply".

 The PATH can be a series of directories separated by semi-colons
 (;). Microsoft Windows looks for programs in the PATH directories in
 order, from left to right. You should only have one bin directory for
 a JDK in the path at a time (those following the first are ignored),
 so if one is already present, you can update it to
 jdk1.5.0_<version>\bin. 

4.
Restart the command prompt for the new path to take effect.
5.
javac HelloWorld.java
java HelloWorld