Java Programming

I guess you could say I'm pretty new with java.

OK, I'm trying to work this example:
http://www.jsresources.org/examples/AudioPlayer.html

and it requires the gnu.getopt package to run

So I went here:
http://www.jsresources.org/examples/examples_download.html
and downloaded the jar file.

Everytime I try to compile (I'm using NetBeans IDE 5.5), it would give me an error saying:
D:\java\Java Audio\AudioPlayer\src\audiopla... package gnu.getopt does not exist
import gnu.getopt.Getopt;

So I want to know how to actually install this gnu jar file I've downloaded.
Do I just put it in a folder that is part of my CLASSPATH or what?
I put i in a folder: D:\java\CP
and then I run cmd and type echo %CLASSPATH% and this directory is part of the CLASSPATH but I still can't compile!
When I type echo %CLASSPATH% I get:
.;D:\java\CP

Am I doing this all wrong?