Yes, you’ve downloaded the wrong version. 1.5 is not yet available, you are using a beta (I blame all the open-source developers and games developers who charge people for betas for spreading the impression that it’s generally a good idea to use something with the tag “beta” :P)
EDIT: and it’s OK to use 1.5 beta, but be aware lots of things could be temporarily broken; if you have any unexpected problems, download 1.4.2 and see if it works there (note: you may need Toby’s retroweaver, that lets you run 1.5 code using 1.4.x - http://www.java-gaming.org/cgi-bin/JGNetForums/YaBB.cgi?board=tools;action=display;num=1079033528)
However, “deprecated” is not an error, just a warning. All it means is that the method/whatever should no longer be used because there’s a better version (or some other reason).
IIRC there have been things that have been removed in the next major version (so if it’s deprecated in 1.5, you can guarantee it will still be there at least until we get to 1.6, which could be 3-5 years away), but there are also deprecated things that have never been removed - e.g. Thread.stop() and Thread.start().