return always returns back  from the method to the
point where the method was called. This is valid only
if the called method ('main' in this case) has void  as
the return  parameter.
Here, since 'main' is called by the java environment,
return takes you back to the OS.

It propably be

class test
>{
> public static  void main(String args[])

The return  statement means the that system.exit(0)

Your Porgram is correct.It would be more accurate if you
use "java.lang.ArithmeticException " instead of generic exception.
Because you are of exception  goin to occuer.
The exception get caught and the control  goes to the catch block. it
finds only return  statement. so it comes out of the programme and so
only to the command prompt.the follwoing example (little modification
of your prog) would lt you to understand better.

class test
{
public static  void main(String a[])
{
try
{ int  i=2;
int j=i/0;
}
catch(java.lang.ArithmeticException e)
{
System.out.println("I have caught exception "+e);
return;
}
}
}

let me know if you have any other query