On the JMF web site, there is a diagnostics page with an embedded JMF applet which will check to see if you have JMF installed correctly on your system. Check out:
http://java.sun.com/products/java-media/jmf/2.1.1/jmfdiagnostics.html
See:
http://java.sun.com/products/java-media/jmf/reference/faqs/index.html
Hope That Helps