Sorry for the slow reply.
The Java ME SDK allows you to run embedded applications via the Java ME SDK Embedded Emulator or mobile applications via the Java ME SDK Mobile Emulator. If you have an existing mobile or embedded application start the respective emulator and then select the application to run. But the Java ME SDK does not feature a source code editor or other features of a full development environment.
For a full development environment, you will want to use an IDE such as Eclipse or NetBeans. The plugins that come with the Java ME SDK integrate the Java ME SDK emulators, device editor, and other tools into Eclipse or NetBeans which makes for a complete development environment.
For a good guide on getting started, see the Java ME SDK "Developers Guide" for NetBeans (http://docs.oracle.com/javame/dev-tools/jme-sdk-3.4/nb/html/toc.htm) or Eclipse (http://docs.oracle.com/javame/dev-tools/jme-sdk-3.4/ecl/html/toc.htm).
Hope that helps,