I don't know, would I?
EDUCATE ME CAERBEAR!
Well it depends dunnit, on what you want to achieve. Some things just work better as desktop applications, but then again the number of things you can do on the web is expanding all the time.
The main reason I suggest web-oriented development is because it's easier to get started - you have everything you need to start coding already on your computer (albeit not exactly optimal for it): you have a browser and you can create text files.
Furthermore, the things you make can be shared with everyone, and you can get help on stuff because your source code is readily available for people to see.
If it's an IDE you want, try this:
http://www.akshell.com/ide/
That's fine :D Like I said, some things just work better as desktop apps, without being constrained by a browser window.
Still, if you're gonna develop desktop stuff you'll have to ask someone else though, as I've not got any modern experience with it :$
I dare you to try downloading the Oracle database client. And actually get it working.
Don't feel stupid for getting confused by the Sun website. It'd bloody awful.
<!doctype html><html lang="en"> <TITLE>Hello!</TITLE> <p>Wooohoo!!! <p>I <3 lemons.
<?xml version="1.0" encoding="UTF-8"?> <!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Strict//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-strict.dtd"> <html lang="en" xml:lang="en" xmlns="http://www.w3.org/1999/xhtml"> <head> <title>Hello!</title> </head> <body> <p>Wooohoo!!!</p> <p>I <3 lemons.</p> </body> </html>