Download and install the jar files.
There are four jar files (png.jar, gl4java.jar, gl4java-glutfonts.jar, and gl4java-glffonts.jar) associated with the GL4Java distribution. They are listed in the right sidebar under downloads. Download each of them to your computer by clicking on the associated link.
Install these four files by moving them to your JAVA_HOME\lib\ext directory. Your JAVA_HOME directory most likely will be C:\Program Files\Java\jre?.?.?_?? where ? is the version number of your JRE. So, if you downloaded version 1.5 of the JRE, you should move the four jar file to C:\Program Files\Java\jre1.5.0_03\lib\ext.
You may have more than one JRE, if your java folder contains more than one jre?.?.?_?? folder in it. In this case, it is a good idea to put the jar files in the ext folder of each JRE.