The jnlp file should be started with the java web start launcher.
(Presumed you are using windows and installed the latest java runtime in C:\Program Files\Java, the web start launcher is located at C:\Program Files\Java\jre1.5.0_06\bin\javaws.exe)
However, I would recommend that you click on the the download link. That way you would get a jar executable to perform the installation. This way you would have an installer you could run at a later time, should you need to install another instance of the server (or for some other reason).
Thanks alot Ivaylo. :)