Hi djmeo, you can install the latest (sun) jre (6-13) from the package "sun-java6-jre" in the synaptic package manager, no need to download from their website. It's in the "Community" repository, which you can enable from synaptic at Settings --> Repositories, select the check-box next to both lines with "Community" in the "Section" column (yes, there should be an easier way to do this). The community repo is where packages get uploaded by those who want something that hasn't made it into ubuntu yet, in this case, the latest version of sun's jre, uploaded by merlwiz79 (he creates the XFCE CE among other things)
Oh, and regarding your permissions problem, even with root: This basically means that the partition ("drive" in windows) you're trying to install off (presumably not the same partition as your main install) has been mounted with a "noexec" option, which disables scripts entirely. You'd need to identify which partition it is, then edit the corresponding line in /etc/fstab to ensure the exec option.
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