This week's book giveaway is in the OCAJP 8 forum. We're giving away four copies of OCA Java SE 8 Programmer I Study Guide and have Edward Finegan & Robert Liguori 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.