You need to have both a terminal program (like qkonsole) and a Java runtime environment (like JEODE). I don't know about the other ROMs but with the Sharp 3.1 on the SL5500, they have to be installed seperately from (after) the ROM installation.
Then (I do this on a PC), you need to know the location of the main class in the JAR file. You can find this with " jar tf <jarfile name> ". It will likely be something like "Progname.progName" (note the implied directory).
Then, on the Z, you enter from the console: evm cp <jarfile name> <main class>.