For very first step please make sure your java version is based on Oracle's JDK since the OpenJDP does not support JavaFX yet.
So, go to the Oracle Java download page and download JDK suitable for your operating system and computer architecture.
If you want to study Oracle's java examples, find the JDK 8 Demos and Samples section on the same page and download the package.
After SDK installation make sure you have the java binary folder in the path and also that you restarted the shell to apply the path changes.
To test javafx go to the demo/javafx_samples
folder and learn. For compilation of the demos you will need gradle or ant.