First, I checked out the source to jMonkeyEngine:

svn checkout http://jmonkeyengine.googlecode.com/svn/trunk/engine \
             /home/r/proj/jMonkeyEngine3

Checked out revision 9220.

Building jMonkeyEngine is easy enough:

cd /home/r/proj/jMonkeyEngine3
ant jar | tail -n 2

BUILD SUCCESSFUL
Total time: 2 seconds

Also build the javadoc:

cd /home/r/proj/jMonkeyEngine3
ant javadoc | tail -n 2

BUILD SUCCESSFUL
Total time: 13 seconds

The java classpath should have all the jars from the jMonkeyEngine directory.