Assuming you already have Java installed
The following JMF installation should help get you off the ground
http://java.sun.com/products/java-media/jmf/2.1.1/setup-java.html
Then you should read the JMF Prog Guide - available via
JMF 2.1.1 Software Documentation at
http://java.sun.com/products/java-media/jmf/2.1.1/documentation.html
Hope this helps