you should of got a install CD with the phone, you will need either a data cable, or blue tooth.
Other then that you should be able to use the .jar with the program that get's installed from the installation disc.
Go to the Nokia developer site and download the platform SDK (series 40,60 and/or 80). It contains a Nokia phone emulator that will allow you to install/test/run java programs on your PC. Should be available for both windows and linux.