Where can I download JNLP.jar?

C:\Program Files\Java\jdk1.6.0_27\sample\jnlp\servlet

In other words, in the sample\jnlp\servlet directory of your JDK.

You can also find the javax.jnlp.* classes in lib/javaws.jar under your JRE installation.

The classes shown at the link are primarily of the JNLP API. It is automatically on the run-time class-path of apps launched using Java Web Start.

As to how to add them to the compile-time class-path, see the tips in (the build files of) these demos.