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The "open" program is specific to OS X and lets you basically drag and drop a file with the -a command onto an application. This way it overrides the per-user OBJ open-with settings.
They may refer to it as a shell, console window, a command prompt, a cmd prompt, or even dos. In order to enter the command prompt you need to run a program that is dependent on your operating system.
There are three simple ways to set JAVA_HOME in Windows. This tutorial shows you how to do it manually, from the command line and through the installer.