The usual J installation packages are not yet built. Instead, please download and unzip the appropriate file from http://www.jsoftware.com/download/j801. The new folder can be moved anywhere on your machine.
Before running J, you should check the profile script in the bin subdirectory. To make changes, copy the profilex_template.ijs script to a new profilex.ijs script, and update that script.
The distribution supports Jconsole and JHS. For the new desktop, see QT IDE.