Other than displaying the notification, the installer will also offer you to click a button that will download and install Java Runtime Environment for you, or at least provide a link that you can click to go Java’s official website to download it yourself. Normally, when you try to install a Java based software, the installer will notify you if your system doesn’t have Java Runtime Environment installed yet.
In Windows, it is not installed by default.
Java Runtime Environment is a part of Java components that is required to run any Java based software. The advantage of using Java is that you write a program only once and it can be used on all platforms, and that makes Java pretty convenient to a lot of developers. Java may not be as popular as it used to be, but it is still used a lot to develop programs for various purposes.