The COMSOL API is based on Java®. You must have access to a Java compiler to create and compile programs that can utilize the functionality provided by the COMSOL API.
You can get a compiler from www.oracle.com. Go to that website and download a Java JDK that suits you. The version for Java SE is suitable for most uses. The Oracle website also have plenty of background information on the Java language. Especially the Java Tutorial can be recommended for users that have little or no prior experience in using the Java language.