I need specific step by step instructions (consider me a computer
idiot) on how to increase the size of my desktop heap size in the Java
Virtual machine.  When I run a specific Java application it runs out
of memory and gives me an error message.  I am running a pentium based
computer, windows XP home edition (service pack 2) and the JVM
1.4.2_03-b02.  I am not talking about a java applet in internet
explorer but a standalone java application (WEKA data mining
software).  I look forward to the answer.

I'm pretty sure you can just do this with the -xmx option.  There's a
pretty simple example here:
http://java.sun.com/products/java-media/3D/forDevelopers/J3D_1_3_API/j3dguide/AppendixExamples.html

Specifically it says:
"Some of the example programs require a larger heap size (memory pool)
than the default provided by Java. To increase the maximum heap size
to 64 megabytes, run java with the "-Xmx64m" option. For example,

% java -Xmx64m HelloUniverse "

You should be able to replace 64m with whatever size memory heap you'd like.