Could someone point me in the right way?
It really depends on what you need to do.
If you are a client that is trying to connect to an MBean Server...
Tomcat, Weblogic,
JBoss, etc., all come with client side libraries that allow you to connect to it. These libraries has all the JMX classes that is supported.
If you are the server, then you are running in the mbean container that have these libraries.
Unfortunately, Java 5.0 confuses this a bit. The JDK has an mbean server built in, with mbeans that report on the JVM. However, this doesn't imply that JMX is not supported until 5.0, as you still need the client libraries to get to get to the other mbean containers.
Henry