Hello!
Well it's pretty much like building any jMonkeyEngine (JME) application. There's no automated build file yet so you should checkout the project and add it to your IDE (I personally use Eclipse).
Then add JME 2 and JMEPhysics 2 as dependencies and try to run one of the tests (as with anyh other JME application, you'll need to set up the java.library.path so it includes JME native dependencies).
Make sure that you are comfortable running JME applications, and feel free to post if you have any trouble setting up!
Also note that the project is not being worked on currently, but I can spend some time fixing stuff and I hope to be able to restart development in a few months.
Best regards!
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Jose Juan Montes