Click the download link above and choose to save the file into some directory or other. (c:\JavaPlayer for example)
Once the file is downloaded you will need to unzip it using WinZip or some other compatible program.
The zip file contains all of the java files needed to run JavaPlayer under Windows and Linux. You won't need anything else to run JavaPlayer.
The examples I'm using are for Windows, but it should be similar for any other platform.
Unpack JavaPlayer.zip to your hard drive (ie C:\JavaPlayer). Change into the src directory. The command line to build the program (using jdk 1.6) would be as follows:
"C:\Program Files\Java\jdk1.6.0\bin\javac" -classpath . javaplayer\Main.java
To execute JavaPlayer use this:
"C:\Program Files\Java\jdk1.6.0\bin\java" -classpath . javaplayer.Main
Once the compile is complete you can archive the classes and included gif files using the jar executable and execute the program with this command:
"C:\Program Files\Java\jdk1.6.0\bin\java" -jar JavaPlayer.jar