I don't know how much this board is used as a knowledgebase, but this is the kind of thing I want to find if I were to search for Eclipse, or set-up, or IDE...
I think now's a good time for me to post up my "Getting Started with Eclipse" tutorial. Explains the hardest part of Eclipse - the first 5 minutes of setting things up, complete with a good amount of illustrations.
I wrote it for some people totally new to Java so keep that in mind when you see me explain something that any of us would take for granted. http://zelda.acidblue.net/Eclipse/
p.s. Looks like you missed the most important step of all. Make sure that you are in the Java perspective, otherwise nothing will work at all, nothing. Check the tutorial to see where that actually is.
I was using NetBeans, and now that I've set up Eclipse properly, I think that's it's much better (especially when being able to just click to solve problems).
One thing that could be added to the tutorial is an explanation of how to actually do the "run" part. I was able to figure it out, but I was also pretty worried that I was going to screw something up along the way.