This week's book giveaway is in the OCPJP forum. We're giving away four copies of OCA/OCP Java SE 7 Programmer I & II Study Guide and have Kathy Sierra & Bert Bates on-line! See this thread for details.
I use Eclipse, so I can tell you how it works in Eclipse:
Right-click your project, choose Properties in the popup menu, select Java Build Path, click on the tabsheet Libraries, use the buttons "Add JARs..." (if the JAR file is in your project) or "Add External JARs..." (if the JAR file is not in your project) to add the JAR to your library.