This week's book giveaway is in the OO, Patterns, UML and Refactoring forum. We're giving away four copies of Refactoring for Software Design Smells: Managing Technical Debt and have Girish Suryanarayana, Ganesh Samarthyam & Tushar Sharma on-line! See this thread for details.
My guess would be that JMF relies on AWT being present, and I believe JME has a rather slimmed-down version of that. You could start with a simple JSE media player, and then try to get that to compile and run with JME.
BTW, a single question mark at the end of a question is generally sufficient.