CT is correct that Lion does not come with Java... but you shouldn't need Java to open Safari's privacy settings. (You're seeing that when you click the Privacy icon in Safari's preferences window, right?) I don't have Java installed and I can go to those settings without a problem.
The message you're seeing suggests that maybe you have a Safari plugin that is causing the problem. Try looking in the Extensions section of the preferences window. Remove anything there that you aren't actively using. If that doesn't help, try looking in:
~/Library/Internet Plug-Ins
/Library/Internet Plug-Ins
Yes, those are two different folders. The first is in your user folder, and that Library folder is invisible. Hold down option while choosing Library from the Go menu in the Finder to go there. If nothing in there works, try the last one, which is at the root level of your hard drive. Be cautious with that one, you can't just delete everything in there willy-nilly without consequences!
Alternately, you could just install Java... but if this is the only thing you need it for, you shouldn't need it, and you're safer without it.