my mind is blowing up trying to figure out how to install this framework (setting the classpath) in my Netbeans 6.9.1

on this URL JMF 2.1.1e Software

1) i dont know which to download, the crossplatform or the windows version that gives me an executable file that i dont know how to deal with.

2) i dont know how to set up the classpath of this frame work

i only need the media package that gives the classes Player, controller
but the problem is i dont know how to SET UP A CLASSPATH. ive been diving the whole time in google and everything i see is just messing up in my brain.. please guide me on this one. ill break down the things i need

1.) I need to play my mp3 files that will compensate with the game im writing
2.) i need that javax.media class that offers media classes such as Player, Controller etc
3.) the crucial part for me.. looking WHAT file to setup in the classpath thing and how to set it up particularly in my IDE
4.) what to download on that URL. the JMF zip? or the JMF(WINDOWS) exe?

please ill be blown up again.. its hard to deal with these things without schooling (Self study)