Catacomb Snatcher is too complex a game to attempt as a first game. You'll need to pick a simpler game to learn the basics, I'd recommend starting with something like space invaders, snake, etc.
To begin you need to firstly choose a Java game library that you will use to build the game. There are many options available to choose from. Catacomb Snatcher use the basic Java2D library.
Personally I'd recommend starting out with Slick2D
, its very similar in API to Java2D but without all the quirks, hacks and experience needed for it to function properly and has a much cleaner games oriented API and framework. It also includes a lot more useful games related stuff (like better sound class, faster graphics, etc) and a more useful library in the long run for games.
Start with getting a basic game window working and drawing a sprite/image on it.