You should create a "Maven Project" in Eclipse and simply add the DKPro Core dependencies to the pom.xml file of that project. Manually downloading JARs is not necessary - Maven will do it for you.
We have some instructions on how to get started with a simple Java project here:
(Mind it uses an old version of DKPro Core, but still it should get you started... you can update to a more recent DKPro Core version later)
Maybe it also helps you to have a look at the DKPro Core examples project: