This week's giveaway is in the EJB and other Java EE Technologies forum. We're giving away four copies of EJB 3 in Action and have Debu Panda, Reza Rahman, Ryan Cuprak, and Michael Remijan 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.
Ping & DNS - updated with new look and Ping home screen widget