First of all, you have to complete the "Java build path" to add the necessary jars.
3.1 : Right Click on the newly created project, then choose "Properties".
3.2 : In the "Java Build Path" entry, choose the "Libraries" tab.
3.3 : Click the "Add JARs..." button and choose "lib/GLUEGEN-RT/gluegen-rt.jar", "lib/JOGL/jogl.jar" and "lib/jdom1.1.jar" ; then click "OK"
3.4 : Click OK to update build path and close the properties window.
Now, JPCSP should compile