The J-Kernel & J-Server distribution comes in three parts: the documentation, the binary release, and the source release. You should probably get either the documentation and the source, or the documentation and the binaries, although all three will fit together as well. The J-Kernel and JOS packages are written entirely in Java and should work on any JDK1.1 compatible Java virtual machine (they have been tested with Sun's and Microsoft's virtual machines). The J-Server IIS plug-in contains native code which only works with Microsoft's virtual machine running under Win32.
Regardless of which files you download, you should unpack them all into the same top-level directory (ideally called jk-0.91). The documentation will all fall into a doc subdirectory, the source into config and cornell subdirectories, and the binary into a bin subdirectory.