You can select the JDK directory at Project Settings > Disk locations > JDK directory in your Mendix Business Modeler after you've installed the program.
You can also take a look at this question and answers.
I downloaded JDK. The first instruction helped me to fix the error. Thank you very much for the help!
When you say "I have downloaded the programme", do you mean the mendix modeler or the java development kit (JDK)? You need both to run mendix. You can download the JDK here.