You need a 1.4 or better JRE to run JXM. You should be able to get one of these directly from Sun.
You need an implementation of javax.comm. You can also get one of these directly from Sun.
You need an FTDI FT232 driver. Good luck with that.
If you get all of that, then "java -jar jxm.jar" should work.
If you're having trouble, the best place to turn for help is the XM411 software support forum.