I know this sounds ridiculous, but be sure to verify through your list of programs that you see Java listed and it did in fact install. I was having this same Out Of Memory issue myself on start-up after following every step in the tutorial flawlessly. Finally, I realized that while installing Java, when it was asking me to uninstall previous versions, and I accepted, it was actually uninstalling the version I just added. Once I declined to delete previous versions and the Java install finished, I was able to start the game and have had no issues since. Sorry if this seems trivial, just trying to help.
Great work you guys are doing here. My hat is off to you! Many of us less computer-savvy World players are glad you are here so we can continue on! Many thanks!