There is nothing wrong in the do it all yourself approach (I am doing it myself
), but be prepared for a long project. Also be prepared for lots of diversions because you will be taken in a lot of directions and you will end up re factoring your code a lot as you learn more things. (A lot is an under statement)
What you ask sounds quite simple but to do what you want to do you will need to understand graphics, networking, controls,threading, sound, physics (maybe), game design, resource loading, etc and in each of these categories there are quite detailed sub categories. That is quite a lot to take in all at once.
If you are still keen on doing it this way,you might want to start with code that people have already done, ie using libraries (lot of good suggestions here already), and then slowly replace bits that these libraries do with your own code. The one thing you aren't going to understand when you first start is what its going to look like at the end, people who wrote the libraries do so learn watching others.
Also it looks you are quite lite on Java experience (apologies if this is not the case) and this is also going to hinder you at the beginning because just knowing how to program in java won't make you a good programmer, it takes a lot of learning from experience.
But don't let all of this scare you too much, use it to your advantage and I am sure you will get to your goal eventually, good luck. Keep us posted on your progress!