If you are familiar with the Linux command line, you can also open up a terminal window from the Tools->Terminal menu.
Once this appears, you should enter the following
javac Filename.java
java Filename
But also check out
- the Java Hello World starter pack that serves as a template for Java projects in Codio and the .codio file has been configured so you can run the contained - HelloWorld.javafile
- or the Personal Playground assignment in the Java course where other options are explained including where the .codio file has been configured so you can Run any 'current' file. 
See https://docs.codio.com/project/ide/boxes/#customizable-run-menu for more on how you can configure the .codio file


