You probably have a mobile phone with J2ME (Java 2 Micro-edition) and you want to know how to write a "hello world!" on your mobile phone.
To develop an application on your mobile phone, you need a development kit, e.g. the J2ME wireless toolkit 
If you haven't done that before, you can follow the step-by-step guide on .../docs/UserGuide-html/developing.html to develop your first (called "Tiny.java") MIDlet application.
To transfer your program to your mobile phone, simply use bluetooth or your memory card to transfer the file ...\apps\Tiny\bin\Tiny.jar to your mobile phone memory and then install it there.