Jpcsp v0.3 rev.1142 - PSP Emulator for Windows

The Jpcsp Team have released a new version of their Java PSP Emulator for Windows

Heres whats new:

Rev1132-1138: callback branch
Rev1139: SasCore: moved some messages to DEBUG level
Rev1140: Added file header.
Rev1141: Implemented Java Native code for some Allegrex code patterns
Rev1142: Performance improvement for games storing compressed textures in VRAM

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I'm a noob when it comes to java. How do you run this? It says it needs a JRE, and I run the jar file with the JRE, but it doesn't run...