如何将SQL文件连接到我的Bluej应用程序？

I really am new at this, and I don't really know what I'm doing so please be gentle. I have a blueJ program and an SQL database to connect it to. I have a .jar library to connect it but where exactly do I save the library and where exactly is that location stored? here, right? I really am new at this, and I don't really kno