Java is a programming language that allows programs to be written that can then be run on more than one type of operating system.
A program written in Java can run on Windows, Mac OS, UNIX, Linux etc. as long as there is a Java runtime environment installed.
Free Proxy Switcher is written in Java, so you will need to install the Java runtime environment in order to run it.
If you have Java installed, then you should see a green rectangle here: