I don't think that /usr/java exists by default so you have to create it (by the mkdir command). Second most of these steps can be made using a GUI like konqueror. As a newbie you should probably use that. Just launch konqueror with root privileges (open a terminal, type "su", give root password, type konqueror). In konqueror you can navigate anywhere in the system. So you can go to /usr right click and choose "create new" (or something like that, sorry I'm not using English GUI), choose directory from the list, give the name (java) and you're ready with the first part.
As you're coming from the Windows world you will notice that Linux uses different principles in a lot of things. One of these is the filesystem, other is the installation. In Windows you could do everything since you're admin by default, except deleting the Windows directory. To install something you had to download the program and install it. In the installation process the program created its own directory where it put everything related to that program (well in almost all cases). In Linux the file system is as is you can't do anything you want since you're a regular user by default, except in your home dir.
The stucture of the file system is defined. There are /bin, /sbin, /usr etc directories in every Linux system. The files are placed in the directory structure by their role/properties, eg system executables (cd, tar etc) are in /bin, system executables that only root can use (like fdisk) are in /sbin. The executables of the programs you installed are most of the times in /usr/bin or /usr/local/bin.
Linux systems have package managers which is a central installation/uninstallition utility (Mandriva has rpmdrake, System\Configuration\Packaging in the menu). Linux distros have central source of softwares on ftp servers called repositories. You can setup the package managers to use those ftp servers and then you can just choose from the list what you want to install the package manager does the rest. This is the prefered way of installition especially for a newbie since if you use the Windows method you'll soon meet dependency hell which is probably the biggest disadvantage of the opensource world.
Unfortunately Java is propietary software so it's not in Mandriva packages unless you're a club member. If you want to setup those ftp servers visit easyurpmi.zarb.org. Main and contrib are the basic source of Mandriva software. More than 10G of software is there.