You can search for
javac.exe to see where it has been located. (Or if it has not been installed after all)
You can try looking at
BlueJ which is an IDE designed for teaching Java. I have not tried it so I don't know how good it is.
Since you have chosen Java as your first language I suggest you stick to just learning that for a year. (If you can. Who knows you'll encounter in college)
C++ does indeed (still) seem to be the most used language for making games so learning it if that is the direction you want to go will definitely be valuable. I do suggest waiting at least a year before starting to learn it though. That way you won't mix it together with Java.
The key difference between C++ and Java is that C++ is unmanaged and Java is managed. I.e. that you have to care about allocating and freeing memory in C++ while you don't have to in Java. (Made black and white for emphasis. In reality it isn't that black and white)
I think this is a nice discussion about using managed code in games:
http://cowboyprogramming.com/2008/02/26/managed-code-in-games/The article states that
Performance is nearly always going to be worse with managed code than it is with native code.While true for experienced programmers it is often different for new programmers.
There are the optimizations made both by the compiler and the JVM, but I think the main difference is in the memory management.
What is faster? Allocating one block of memory on 64KB and putting objects in there or allocating memory individually for say 1000 objects. (Assuming that the 1000 objects can be stored in 64 KB memory)
Beginners often control memory in a non-optimal way. I think you can see where I am going with this. That the work of beginners often can run faster in Java or C# than in C or C++.
Learning both Java and C++ will definitely be valuable. As will learning other languages than the few named here.
Note that you do not necessary have to know the language used at a job to get it.
Anyway... I wish you luck with learning Java :3
*hugs*