Yes, M$ have now stopped downloads of it's JVM, ostensibly because of Sun's long running lawsuit [see
http://www.microsoft.com/java/xp.htm ] - it will be available as part of XP Service Pack 1 which will be available RSN (Real Soon Now) or as a download from the M$ update centre.
Suggest you read the terms of M$ new EULA carefully (not that you can do a lot about it apart from changing O/S). It gives M$ some quite remarkable rights on your PC, from installing/updating what it wants, when it wants, where it wants without telling or warning you or asking your permission to disabling suspected illegal or unlicenced sortware.