Sun has a nice tutorial to get you started  with the basics. If you
want to get a really good book on it, you can get the Schaums's
outline: "programming with java" for under 16 bucks. Unlike a lot of
books it gets to the heart or of what you need to know with out an bs
to fill pages. All the programming problems have solutions in the
back of the book ( and if you have taken a programming class ..some
of these are similiar/the same as the ones most professers give). You
should be able to find it in your local college library if your
really frugal like moi. combine that with the JDK, and textpad (
smallest download), jbuilder-personal, or Forte for java  CE (large
downloads) and your in business.

The short answer for HTML is it is a markup language, which tells a
browser how information and text is suppose to look and be formatted.
Java is an object-oriented language meant to "write once run
anywhere", you can actually solutions to problems with it. Its great
for network programming and web applications and I personally am
starting to become fond of it on the desktop. XML is an extensible
markup language for describing structured data. their is alot more to
it (ie xsl & xslt) but it is great for searching, manipulating and
rendering. The last company i worked for we used it in conjuction
with java2 platform to render ready made contracts.