A brief of ancient history,
Mr. Anders Hejlsberg, the .NET chief architect had developed that IDE in that time. There was a feature in that IDE that you could turn your java application into a windows application. Legal issues stopped that IDE and it did not exceed beta version...

isn't part of Visual Studio express edition? I guess I've seen it in one of the releases. anyway its free but the express edition is a simplified version of the real one.

I think there is no need for using Visual J++ 6 .
you can use Visual J# ( with .net framework and IDE) instead.
or use java with powerfull IDEs that is available.
if you want to use JNI features of Visual J++ 6 for java and com interoperability
, you can use tools provided by .net framework such as regasm and tlbexp , ...
and use other softwares for this purpose such as JNIWrapper , J-Integra ,
JNBridge , Jawin and etc.

this is the story:

Mircosoft added some non conformant features to java in MS J++.
that was against write once run any where of Java so,
sun took Microsoft to court and win the case.
judges forced Microsoft to pay some money to MS and took the right to develop any Java product (JVM, IDE)
so Microsoft created created .net and C# and made its visual  J products absolute.

<<<so don't search for it since it doesn't exist any more!!!!>>>

they made J# as a middle language on .Net for those trying to move.

there is a converter in MS Visual studio  2005 to convert from Java to C#, which you can use