If you are new to Java, maybe the AdvancedExample isn't a good idea to start with. I would rather start with some basic Java stuff and the HelloWorld example, which can be found in the wiki as well as in the zip.
For an IDE, i suggest to use Eclipse, but Netbeans is fine too. Just choose the one that suits you more.
So...install the JDK, install Eclipse, create a new project, add the jpct.jar and lwjgl and try to get the HelloWorld-example to compile. The wiki also has some brief "how to install" information.