Read through the description of makefiles at http://webapps.acs.carleton.edu/curricular/cs/resources/source/makefiles/. Though this description is based on C++, you can apply the same ideas to Java.
Make a new directory somewhere and save copies of the following in the directory: Makefile, Hello.java, Decapitalizer.java, Debug.java, and NoDebug.java. Take a look at each of the files. If you have questions about anything in any of these files, ask.
Careful: Makefile has tab characters at the beginnings of some lines. Those tabs must be preserved, and cannot be replaced by spaces.
Now, cd to the directory and try the exercises described at the top of the Makefile.