Before installing the studio you must first install the Java SDK:
Just accept the defaults.
Now install Netweaver Depeloper studio (SP13 in my case)
Install all components.
You will be asked for the location of the Java SDK which if you accepted the default should be:
Next enter your proxy settings, wwwcache:8080 in my case.
Now sit back, relax and wait for the long install to finish!