The first thing to do is read the documentation
I'm new here as well. The documenation for getting started is really great, so I'll second kukeltje's recommendation.
try here first: http://wiki.jboss.org/wiki/Wiki.jsp?page=JbpmGettingStarted
that will help you to get an overview of jBPM as a standalone app.
There are also many threads in this forum on getting the standalone engine set up in your own app: http://www.jboss.com/index.html?module=bb&op=viewtopic&t=89744
Really, the docs will tell you anything you need to know...
It's easy, just download the jBPM Starters Kit.
it comes with everything you need to start from scratch or just to follow a sample.