Here are the steps I took to get lejos 
running under Windows.  Your mileage may vary, eh?
- Jim Mahoney
   Jan 2007

1: install Java SDK
 from http://java.sun.com/j2se/1.4.2/download.html
 downloaded java SDK j2sdk-1_4_2_13-windows-i586-p.exe
 and installed to C:\j2sdk1.4.2_13\
 See http://java.sun.com/j2se/1.4.2/install-windows.html

2: install LeJOS
 from http://lejos.sourceforge.net/p_technologies/rcx/downloads.php
 downloaded both 2.1.0 (2003) and 3.0_RC2 (release candidate 2, Sep 2006)
 and installed to C:\lejos\
 unpacked to c:\lejos\lejos.3.0.0-RC2-win32
 See http://lejos.sourceforge.net/tutorial/getstarted/firstbrick/win32.html

3: get driver for the USB tower
 on a windows machine, when you plug in the USB tower for the first time, 
 it launches the "Hardware Wizard" to find the driver for that device.  
 I got the driver from a CD that came with the robots, and copied the whole
 directory to c:/lejos/Tower on this computer.
 There's an app in that directory that'll also install it when double-clicked.

4: Setting up the environment variables.
 
 Created the batch file init.bat to set up the three
 needed environment variables : PATH, CLASSPATH and RCXTTY.
 
   --- init.bat -----------------------------
   @echo off
   REM  Just type 'run' from the Command Prompt to execute this.
   ECHO -- setting PATH, CLASSPATH, RCXTTY for Java and LeJOS --
   SET LEJOS_HOME=C:\lejos\lejos_win32_2_1_0\lejos
   SET PATH=%PATH%;C:\j2sdk1.4.2_13\bin
   SET PATH=%PATH%;%LEJOS_HOME%\bin
   SET CLASSPATH=.;%LEJOS_HOME%\lib\classes.jar;%LEJOS_HOME%\lib\pcrcxcomm.jar
   SET RCXTTY=usb
   --------------------------------------------

 I first tried using the 3.0.0-RC2 version.
 The "firmdl" command seemed to work, but 
 complained about not being able to unlock firmware.
 The brick did show the battery level when finished,
 so probably it was working ... but given the error
 I just went back to the older version and haven't 
 tested 3.0.0-RC2 further.
 
 The 2.1.0 version ran correctly (the second time;
 first time it gave an "error=-4" which I believe is
 a tower communication problem - the IR link is touchy).  
 The whole session looked like this.
 (The USB tower was already plugged into the computer,
  the lego brick was turned on an placed near the tower,
  and the lights were turned off to avoid glare.
  The numbers displayed after firmdl runs give the voltage,
  which is different for the wall socket AC adapter vs batteries.
  Note that if the batteries are left in, then firmdl doesn't
  need to be run every time; however, if left unplugged without
  batteries, the brick reverts to its original firmware.)

    C:~> cd \lejos
    C:\lejos> init
    -- setting PATH, CLASSPATH, RCXTTY for Java and LeJOS --
    C:\lejos> firmdl
    Segment 0 length = 13686
    Segment 1 length = 2938
    Deleting firmware
    Firmware deleted
    Downloading firmware
    5%  ( ... while the tower's green light turns on)
    Total image size = 16624(17k)
    Firmware downloaded
    Unlocking firmware
    Firmware unlocked
    C:\lejos>

 Then to compile, upload, and run the HelloBrick program :

    --- HelloBrick.java ---------------
    import josx.platform.rcx.*;

    public class HelloBrick {
      public static void main (String[] args) throws Exception {
        LCD.clear();
        TextLCD.print ("Hello");
      }
    }
    ----------------------------------

 The commands are

   C:\lejos> lejosjc HelloBrick.java               # creates HelloBrick.class
   C:\lejos> lejos HelloBrick                      # brick must be turned on
   %5 ...                                          # brick counts code loaded
   C:\lejos> 

 Finally, push "Run" button on the brick to display something like 'Hello'.
 
 Are we having fun yet?