Re: Yet another free university....
You don't have to use the VM - there are instructions on how to set-up the tools under Linux (non VM) too.
They recommend a VM so that you're less likely to mess up a real system when your compiler crashes but it's really no more risky than writing any program that might crash in C or C++. If you go for Java then it should be pretty much impossible to damage the system - unless you accidentally code something that exploits one of Java's security holes.
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