You will need two things:

1. An existing installation of a 1994/1995 Jazz Jackrabbit game:
   • Jazz Jackrabbit (available for purchase from GOG)
   • Jazz Jackrabbit Shareware Edition (free download)
   • Jazz Jackrabbit Christmas Edition (free download)
   • Jazz Jackrabbit Holiday Hare (free download)
2. OpenJazz for Windows (see the download section)

The OpenJazz files must be in the same folder as each other. You can place them in your Jazz Jackrabbit™ folder, and OpenJazz will be ready to run. You can also place them elsewhere if you use your Jazz Jackrabbit™ folder as a command-line option (e.g. by dragging and dropping it onto OpenJazz.exe).