hi,
arduino is run by an atmel microcontroller. this means 8 / 16 Mhz of clock speed, and some kB of memory. Should be obvious that this doesn't run java
You program the Arduino in C, through its IDE. The Arduino IDE looks similar to the Processing IDE, also the 'simplified C' used in Arduino is quite similar to the simplified Java used in processing. The Arduino can run indipendent from a computer.
It is however possible to connect Microcontrollers to the web, but you'll need some additional hardware, like some serial2ethernet modules. A mature part of Tom Igoe's "Making Things Talk" is just about this topic.
You'll most probably not be able to use the wifi sticks you already have.
For the application you mentioned, you'll probably need a setup like this:
Arduino (has a Led to show 'got mail')
- communicates to
Lantronix Embedded Device Server (or XPort, or WiMicro)
- calls the a php script
PHP script on a webserver (checks for new mail)
- answers back to the Lantronix if we have new mail (true/false)