From 11g onwards, sqlplusw.exe will not be delivered anymore. And that's actually fine in my opinion, because the DOS-version works better anyway. Here is a great link about how to setup SQL*Plus the DOS-version: http://www.williamrobertson.net/documents/sqlplus_setup.html
And if you really like GUI's, the free SQL Developer tool is the replacement for SQL*Plus for Windows.
Nothing wrong really. SQL Developer is already installed as part of Oracle 11g. But as I mentioned in my first post, when I'm trying to run it, it asks me to specify full path of java.exe - even when I'm specifying that it still refuses to run!
To make it clear.... when SQL developer is run first time, it will ask for java location. You need to install and provide path of Java SDK... not just Java JRE install which i good enough for running many applications including oracle forms through web. but not enough for SQL Developer. Install Java SDK and provide path for SQL Developer.