http://java.sun.com/j2se/1.4.1/docs/api/

I meant as in a zipped file? I have java  installed on pc but no
access to internet.

go to this page:
http://java.sun.com/j2se/1.4.1/download.html
and scroll down to "J2SE v 1.4.1 Documentation" and then click on
"download".

If you want a different set of documentation  (e.g. you have the good old
JDK1.3)
then go to http://java.sun.com->J2SE->J2SE downloads and choose your version
and so on and so on