Java Web Start is included in the Java Runtime Environment (JRE)

When you install Java, you get Java Web Start installed automatically. 

The Java Web Start software is launched automatically, when a Java application using Java Web Start technology is downloaded for the first time. The Java Web Start software caches (stores) the entire application locally on your computer. Thus, any subsequent launches are almost instantaneous as all the required resources are already available locally. Every time you start the application, the Java Web Start software component checks the application's website to see if a new version is available, and if so, automatically downloads and launches it.