You have probably got a pop up box saying that jucheck.exe is trying to connect to the internet. This file checks for Java updates and is perfectly safe (jucheck = JavaUpdateCheck - get it?). Because of vulnerabilities in older versions of Java, you should install the updates whenever prompted.
It will be a pretty seamless installation. When asked if you wish to install the Yahoo toolbar I would suggest you untick the box, it's yet another toolbar that adds into your Internet Explorer or Firefox browser.
Otherwise, once installed (and it only takes a few minutes) you will have a better, safer version of Java on your PC. If you want to get the latest version for other computers and don't want to wait until prompted, visit this official link: