There are a few things you might want to see about jME before you compile it, which will be easy now that there is a guide for it(There used to be no guide for compiling jME 2). Here are some links:
Here are the guides to compile jME. Please select the guide that best fits your IDE.
Note : if you experience trouble downloading the code from Google via SVN, you might have to turn off your anti-virus.
jME Physics 2 is a very important piece of jME, and it is important that you have it, as in most cases, you'll need it. It is a very nice physics engine, and it is very simple to use. I encourage you to compile it, as the guides are set up for you to do that.