http://www.youtube.com/watch?v=km0MbEQxvOo
Now, I found a solution of this problem after watching the above video about Netweaver 7.02 Installation.
It was just, that I unpacked the RAR-File again using WinRAR. After this the problem does not appear anymore without a special Java-Version for SAP, just the newest JRE 1.4.2 Version.
Also: I found the Video interesting for beginners like me regarding quite some other questions.
Regards Roland