The best way to get started with J is to install a system and go through some of the online labs. Note that J systems can be installed and distributed for free.
To install, download a system and follow the installation instructions.
Once J is installed and loaded, you can get a quick overview of the language by selecting menu Studio|Labs, and running the first few labs. Next try some of the demos in menu Studio|Demos.
The Wiki has links to all documentation, as well as a host of other information. Start by visiting Wiki page Getting Started.