How do I get started writing Java programs for Nokia 5220?
What are the steps to write, compile, install and run a Hello World application on Nokia 5220?
A starting point is "Device Details -- Nokia 5220 XpressMusic" (that contains very detailed specifications about which Java APIs/technology), and then the link "Develop using this device" which leads to "Series 40 platform overview".
On that page there is a section named "Getting started". I think the next step will be downloading "Series 40 platform Java™ SDKs".