The JAVA SE (Standard Edition) is enough:
http://java.sun.com/javase/downloads/index.jsp
See this article of Wikipedia
Java SE was known as Java 2 Platform, Standard Edition or J2SE from version 1.2 until version 1.5. The "SE" is used to distinguish the base platform from Java EE and Java ME.
The "2" was originally intended to emphasize the major changes introduced in version 1.2, but was removed in version 1.6.
Java Platform, Enterprise Edition (EE) is a related specification which includes all of the classes in Java SE, plus a number which are more useful to programs which run on servers as opposed to workstations.
Java Platform, Micro Edition (ME) is a related specification intended to provide a certified collection of Java APIs for the development of software for small, resource-constrained devices such as cell phones, PDAs and set-top boxes.
Note: the all JSE, JEE, JME naming convention has been introduced in mid-2005, as presented in the article JavaOne 2005: Participate in the Future of Java.
Sun is dropping the "2" in the platform name, and the official naming with versions is now Java SE 5, Java EE 5, and Java ME.
Although, I heard a very senior Sun official use the terms "JSE" and "JEE", so expect those words to become part of our standard vocabulary too.
The reason for the change is to simplify the naming conventions and focus on the 'Javaness' of the editions.