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The link you mentioned is the latest Java 6 update for Mac OS X.
Do you remember from what site you downloaded Java? There are two Java versions: one is Java 6 (that you get from the Apple site) and the other one is Java 7 (that you get from the Oracle site).
If you installed Java from the Oracle site, you don't need that update. You have Java 7 and the update is for Java 6. However, if you installed Java from the Apple site, download and install the update. Anyway, Software Update should have told you to install this update.
It's normal that you don't see Java in your applications. Java Preferences was removed from /Applications/Utilities, and you will see Java in System Preferences if you installed Java from the Oracle site.
Java has got a lot of bugs, most of them are security issues, so it's important to keep it updated. If you aren't going to use it, I suggest you to disable it. Safari gives you the option to disable Java in Safari menu (on the menu bar) > Preferences > Security. You need the most recent Safari