Preliminaries (Read This)
J/Link is fully installed by default with Mathematica 4.2 and later. These installation instructions are primarily for users with Mathematica 4.0 and 4.1. If you have Mathematica 4.2 or later, however, and you want to write your own Java programs that call Mathematica, you should look at the platform-specific sections below on adding JLink.jar to your Java class path. That step is not done for you by the Mathematica installation.
If you are updating the copy of J/Link in Mathematica 4.2 or later with a newer version downloaded from the web, simply delete the old JLink directory and replace it with the new one. The JLink directory in Mathematica 4.2 and later resides in <mathematica dir>/AddOns. You can ignore the rest of these installation instructions.
If you are using Mathematica 4.0 or 4.1 and have installed a previous version of J/Link, please note the installation has been simplified. In particular, you no longer have to move the native library to a special location. Also, if you have set your CLASSPATH environment variable, you should note that the location of JLink.jar within the JLink directory structure has changed. You will need to update the path.
Make sure you remove all components from any previous version before you begin the installation.