Install OpenJDK

Because of Oracle's licensing changes to JDK, I recommend using OpenJDK instead of Oracle's JDK from now on. Functionally these two are actually the same. The differences are there's no official support for OpenJDK (which you probably won't need anyway), but there's also no restriction on how you use it (while Oracle's JDK is limited to non-commercial use unless you buy a commercial license).

On Windows

Download OpenJDK from here -- it comes in a zip file instead of an executable installer. Simply unzip it to a folder on disk, e.g. C:\jdk-11.0.2. After that you'll need to set an environment variable JAVA_HOME to the JDK folder, and you also need to add %JAVA_HOME%\bin to the environment variable PATH. The following video shows the whole process.

On MacOS