Step 1:  Start Java Platform Micro Edition SDK tool by  double clicking its icon or selecting it from the start menu.
Step 2:  From File menu click New-Project.
Step 3:  From "New Project" dialog, click "Java ME SDK" from  Categories and click "MIDP Application" from Projects and click Next.
Step 4:  Type "HelloJ2ME" as Project Name, select the project  location (leave defaults if not sure).
Step 5:  Click next to see following dialog. Dont change any  values but do take a look at the options. We will discuss differences  between CLDC and MIDP versions later.
Step 6: Click Finish. Now you see  your new work-place and an  automatically generated initial code for you. And you'll see following  code out there:
package hello;
import javax.microedition.midlet.*;
import javax.microedition.lcdui.*;
public class HelloMIDlet extends MIDlet implements CommandListener {
    private Command exitCommand; // The exit command
    private Display display;     // The display for this MIDlet
    public HelloMIDlet() {
        display = Display.getDisplay(this);
        exitCommand = new Command("Exit", Command.EXIT, 0);
    }
    public void startApp() {
        TextBox t = new TextBox("Hello", "Hello, World!", 256, 0);
        t.addCommand(exitCommand);
        t.setCommandListener(this);
        display.setCurrent(t);
    }
    public void pauseApp() {
    }
    public void destroyApp(boolean unconditional) {
    }
    public void commandAction(Command c, Displayable s) {
        if (c == exitCommand) {
            destroyApp(false);
            notifyDestroyed();
        } 
    }
}
Above code will be generated as a result of above wizard and  we will later discuss the details of the code but before that let's run  the application to see it in action. Simply ress "F6" to run the  application. When you run an app, the IDE launches the J2ME Emulator and  following is the output of the program.
J2ME programs,  called MIDlets are the main software programs. If you have been  programming for Java or similar languages,  you know that the program  starts from the main() method but there is no main method in J2ME.
Execution  of the program starts from startApp() method. Whenever a MIDlet program  is started, its startApp() method is started automatically and the  execution starts. 
In this program, we have following  code generated for you. Here's the explanation:
Create a  TextBox control. The body of the textbox will show "Hello World", the  title of the box will be "Hello", maximum number of characters that can  be netered in this box is 256. Last argument of the consturcotr is the  input constraings. The input is not constrained by any rules so the  argument is 0. We will read about TextBoxes in more detail later.
TextBox t = new TextBox("Hello", "Hello, World!", 256, 0);
TextBox is a  full screen data entry box that we use to display text only. If you  want, you can type things in the box. But we do need to add an exit  command to the menu of the TextBox so that you can exit the applciation.
         t.addCommand(exitCommand);
        t.setCommandListener(this);
This same class is the command listener, and has to  implement the commandAction() method.
          t.setCommandListener(this);
 Finally display the box on the screen.
        display.setCurrent(t);
If  this is your first time you are viewing this code and you have any  confusions, please do not worry. As we proceed with the tutorials,  things will start getting more clear for you.
 
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Related Links:
Start developing J2ME apps using Eclipse
How to setup J2ME development environment
How to make sure J2ME development environment is setup properly