Just extract the JKE files to your Jedi Knight\JKE directory (which youll have to make). Then you have to make a shortcut to:
"X:\<LOCATION>\Jedi Knight\jk.exe" -path JKE
And run the shortcut. Alternatively, you could use Patch Commander, available from
this location @ Massassi.net.
Oh and I'm still looking for Glowsaber, since the flashsaber mod I'm currently using is making me dizzy. And the rest of all the saber mods are just plain crap.