Umm, to clarify:
Java Virtual Machine gets it's name as it presents a "virtual machine" to the code itself so as to allow for portability (the same "virtual machine" is presented to the Java bytecode no matter what OS it is running on) and levels of security (as the code is managed and garbage collected and the like).
This is not a virtual machine to the same level as, say VMware Server or similar product that allows the presentation of a full "virtual machine" to a "virtual hard disk" to run a real OS in a virtual world.
If, however, you are asking how to install a JVM to your home PC (a real OS) to allow for running of Java byte code, just install the Java Runtime Environment.