JDK is a software development program provided by sun Microsystems.
Java Development Kit or JDK comes in various version and can be downloaded free from the sun Microsystems. JVM compiler, debugger and other tools are used with JDK for developing java based application & java applets. So make sure that your JVM compiler & JDK versions are same.
JDK also known as Java 2 Platform, That comes in three editions J2ME, J2SE & J2EE. If you are beginner or learning Java then start by downloading J2SE.
JDK Java Development Kit
JVM Java virtual machine
Download JDK-J2SE here