<p>I'd like to create a basic "Hello World" style application for the IPhone using Java - can anyone tell me how?</p>

You can't code in Java for iPhone. The iPhone only supports C/C++/Objective-C - Cocoa.
However, under the current license you can use translation tools that generate such code.
There are several solutions that do exactly that:
Codename One
- focuses on building applications using Java with visual tools and simulators. Open source with a SaaS backend that removes the need for a Mac.
XMLVM
- a translator to convert Java bytecode to C/Objective-C. Open source, but requires writing iOS specific code at the moment.
There are also several proprietary solutions but I have no experience with them. E.g. Software AG has a tool called web objects.