Debian

I am using VirtualBox if this helps.
btw, I am quite new, and have just started using Linux (It is pretty good I guess)
So, to use the self extracting binary-file "jre-6u22-linux-i586.bin" for Java so I can play on FICS (Free Internet Chess server) I had to use the consol command
"chmod a+x desktop/ jre-6u22-linux-i586.bin"
followed by "ls -l".
The problem is that my computer believes no such directory exists, any advice?

There's a simpler way: Open Synaptic (I believe it's installed by default with Debian), go to "Settings" -> "Repositories". Go through each of the lines, and in the "Sections" input box at the bottom add the string "non-free" (sans the quotes, with a space as delimiter) if it's not already there. Click OK, and return to the main window.

Back in the main window, click on "Reload" and wait. When it's finished, click on "Search" and search for "sun-java6-jre". Right-click on the package, select "Mark for installation", click apply, and wait (again).

The big advantage of Linux systems vs. Windows is the centrally available management of all software for the system, including security updates and the likes. Usually there's no need to manually download something.