Yes, you can. The instructions are here . Windows users who don't want the DOS window opening on screen can set their system up to open the DOS window minimised. That way, it is still there to receive error output, but it does not get in the way. To do this you need to create a shortcut for BlueJ and edit the shortcut's properties.
Detailed instructions are here .
Add it to the path or use the full path name to start Java. Note the the exact path depends on the location where you installed Java. The default jdk1.2.2 installation gives you two java runtimes. Then install again. Then, in the installer, where you are asked to enter the name of the Java executable, also enter the full path.