If you're creating a menu for a non-Java app or you're using the Wizard interface, then add all the files that will let you run your application, including all the JARs and class files if appropriate, to the Select Files panel.
If you're creating a menu for a Java app and you're using the Advanced interface, then you can let JExpress find your classes automatically or simply add all the files, including all the JARs and class files for your app to the Select Files panel.
When you're finished configuring your files, then click Next.