You either need a full install of JK or you need the JK CD in the drive when you load it up.
Try the latest version of JKEdit from www.magicforce.com
Also make sure you are running the proper version of DirectX with it.
If it is broken, you should email the author (Ole) immediately so he can fix it.
It worked for me, but maybe something went wrong with your copy...
[This message has been edited by Kurgan (edited August 04, 2000).]