Take the time to familiarize yourself with the documentation available from the J help menu. It is worthwhile to quickly browse through all the material so you'll know where to look when something comes up.
There is information on how to use the standard libraries and packages that are provided with the system. If you prefer reinventing the wheel, then ignore it, but if you want a head start, take a look.
There is material on GUI programming and the window driver. If you are content with the ijx and ijs windows and are your own end user, then ignore it. If you want to build more complete applications and possibly provide them for other end users, then you need to spend time learning this stuff.