Gianfranco,
I'm stumped.

I finally figured out that to get the command line I needed to go to Run cmd. I then changed to the directory I created for JAM and ran java -jar jam.jar and saw the menu items as you indicated I should. I then ran the command again with gui as follows:
java -jar jam.jar -gui
and nothing happened. This is why I need a GUI interface; I haven't got a clue as to what I'm doing or doing wrong. Any suggestions?