Can you elaborate more what you trying to achive?
Packages in zip file? If you download it something from internet you can drop down the link so we can see it (as long it is not illegal)

and why's he using NB 4.1? 5.5 is available and 6.0 in beta.

Link is:
http://www.vividsolutions.com/jump/
Why is the version of NetBeans so important? I imported already few libraries with this version, and I did not have problems.

You need to extract the zip which you downloaded(jump-1.2.zip) in lib you have all jar files which are required for this application and in the doc folder you find some documentation which also include JUMP Installation Guide.pdf with instructions.

I think that zip little messy, but as long it does what you expect to do its fine

the version of NB could very well be important.
Not only does NB suck in general and do later versions suck a bit less than older ones, but older versions may not work with the JVM needed to use modern libraries.

What should I use instead of NetBeans?
To Peter_Budo:
I have not found any Instalation Guide. Could you tell me where you found the installation instructions?
In NetBeans do I have to additionally to add CLASSPATH or everything can be done through Library Manager

I use JCreator on Windows platform, you can buy full version for something like £30 or get free LightEdition, but then it is my choice.

I went to the website to which you provided link. Downloaded jump-1.2.zip. Extracted with WinRar and got 3 folders bin(binnary), doc(documentation) and exc(executable).
Executable contains all JAR file which are required to run Jump. In general for Windows you will use CLASSPATH in System Properties>Advanced>Enviroment Variables to tell JVM where to look for the libraries (to get System Properties do right mouse click on My Computer and select Properties)
Binnary should contains actual source code which you may change and recompile if you want, in this case there was something with Ants, but not sure as I did not worked with it yet. However I did not see any hint of coding just some unknow file extensions to me.
Documentation has few pdf with instalation instructions, user manual and licence plus some stuff in txt format. So it is hear where I found that instalation instructions.

PS: I hope you have same version of Jump like I downloaded

Why not Eclipse ?

Fair? I never tried Eclipse had no need as JCreator always worked for me, just install confirm path to instalation to Java you wish to use and codeeeeeeeeeeee it
Not saying that Eclipse is bad, just never used it.