I am familiar with Microsoft technologies. First time I am going to learn Java.Like Visual Studio ,is there any Java GUI IDE is available to compile and run Java programs?
Try looking at Eclipse [http://eclipse.org/] or IntelliJIdea 9 from JetBrains [http://www.jetbrains.com/idea/free_java_ide.html]. Both of the two IDEs are free.
There are a few things you would benefit from learning before powering up an IDE, namely the concepts of class paths and such.
See the "Hello World" section of the Sun Java Tutorial at http://java.sun.com/docs/books/tutorial/getStarted/cupojava/index.html
You might also consider using a simple text editor and the JDK CLI. Both Eclipse and Netbeans are great tools, but they have a learning curve (which IMHO is steeper than the Java language) all to themselves.
Starting out simple and then adding an IDE when you're more familiar with the platform is worth considering.
The most popular open source Java IDE's are Eclipse and NetBeans in that order.
An excellent commercial IDE is IntelliJ IDEA, costs a bit of money but is really polished and great to use. There is also a free Community Edition.
Being a java developer for 9 years, I have used every damn IDE available out there.. Eclipse is good till you add some plugins. Netbeans is one good IDE, but still lacks lot of plugins and support (Not to mention after so many years, they don't have support for perforce). There are lot of other IDE's available but most of them are based on eclipse itself (eg. borland jbuilder). Slick edit also has very good Java and J2EE support and feel it is mostly for java development than J2EE. My final choice and winner is Intellij IDEA Although it is commercial, now a days they have a community edition available too. Start using it and you will see it's worth enough and the only best available out there in java world.
When I first tried programming Java (back in 90's), I had some MS-programming background already. And believe me - you'll not find what you're looking for. You want easy GUI building, but Java is far from being easy when desktop GUI is concerned. You may try Eclipse with some plugins, or NetBeans, but it won't work as you expect.