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.
VMware player lets you run pre-built OS "images", which you can either get by creating one (with VMware Workstation (not free) or VMware Server (free) or by cleverly getting around the fact that Player doesn't allow for allocation of disk space for a new image nor the image config files (there are some online resources for generating the needed files)) or download a free one from VMware (all of them are free OS's like Linux's and BSD's).
VMware Server does indeed let you install new OS's virtually, but I cannot speak for how easy it is to setup in Windows (in Linux it takes a little doing)
Note that when virtualizing, the more memory and CPU muscle you have, the better. You'd better be running a relatively recent CPU with at very least a gig of memory if you want to run a recent OS under VMware. Just peek at my specs and keep in mind that even on that kind of a machine it isn't blindingly fast (near-native speed as if the OS were on a circa 2001-2002 mid-level machine).