I vaguely recalled that there was a point in time when Windows was not shipping with Java because of some legal hassel with Sun. Then they began shipping again.

Ok, a little searching at microsoft.com produced what might be the answer.

http://www.microsoft.com/mscorp/java/faq.asp Here I find that it has the question on what versions of Windows have MSJVM (Java) There is a long list and at the bottom it says:
"The MSJVM is not included with Windows XP SP1a, Windows XP SP2, Windows Server™ 2003, or any future Microsoft software." Microsoft is recommending that people install a "third party" Java, because they are going to stop installing or supporting their own version. You should install Sun JVM.

Go to http://java.com which is Sun's Java site and Download it there.

Hope that helps.
Anita