You have most probably installed Java Runtime Environment (JRE) and not Java Development Kit (JDK)
A simple explanation is that you need JRE to run Java Programs and JDK to create them. BlueJ is an IDE for developing Java programs, so it will need JDK.
You can download it from here: http://www.oracle.com/technetwork/java/javase/downloads/jdk7-downloads-1880260.html
Make sure you choose the correct version for you OS (Windows, x86)