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If you don't know if you have Java installed, go to http://www.java.com, and you'll know. The same page will offer you to download the latest version of Java, if you don't have one installed, or you have an older version. You can find further instructions for Ubuntu below.
Download and unpack the archive you have downloaded from Kenai, enter the SmugLoader-0.5 folder, and launch (by double clicking, or by pressing ENTER, if it's selected) SmugLoaderLauncher.jar. You can also start the application by using SmugLoader-0.5.jar (the application itself), but then you'll not have automatic restart, if you reset/compact the database.

Java on Ubuntu Linux (Lucid Lynx)

I have to forewarn you that SmugLoader looks right on Sun's Java. OpenJDK seems to have some issues with the UI part.
Open up a terminal. First check if you have java installed:
java -version
If you see something like below, you don't have java installed:
The program 'java' can be found in the following packages:
 * gcj-4.4-jre-headless
 * openjdk-6-jre-headless
 * cacao
 * gij-4.3
 * jamvm
Try: sudo apt-get install <selected package>

First option: OpenJDK

Launch the following command from the terminal
sudo apt-get install openjdk-6-jre
or open Ubuntu Software Center (the last menu entry in Applications), and search for OpenJDK. Go to OpenJDK Java 6 Runtime, and click the Install button to start the installation. Once the installation completes, check the version again. You'll see something similar to:
clau@clau-desktop:~$ java -version
java version "1.6.0_18"
OpenJDK Runtime Environment (IcedTea6 1.8) (6b18-1.8-0ubuntu1)
OpenJDK Client VM (build 14.0-b16, mixed mode, sharing)
OpenJDK isn't perfect yet, so you'll need to do some whizzard work. You'll need to launch the application from the command line. Navigate to the application's folder, and change directory to the application's folder. using the terminal.

Second option: Sun (Oracle) JRE - to come

Open Synaptic Package Manager, and go to Settings-> Software Sources. Enter the Other Software tab, and check http://archive.canonical.com/ubuntu lucid partner. Close the Software Sources dialog, and click the Reload button.
Enter sun-java6-jre in the Quick search text field, and search for it. Right click the sun-java6-jre entry, and Mark for Installation. You'll be offered to also mark other packages. Start the installation, by clicking the Apply button. You'll have to accept the license terms during the installation.
If you check for the version, you'll get something similar to this:
clau@clau-desktop:~$ java -version
java version "1.6.0_20"
Java(TM) SE Runtime Environment (build 1.6.0_20-b02)
Java HotSpot(TM) Client VM (build 16.3-b01, mixed mode, sharing)
Either of the two options you choose, you'll have to use the Terminal, navigate to the application's directory, and launch it from there.
java -jar SmugLoaderLauncher.jar
java -jar SmugLoader-0.5.jar
I will provide a bash script in the future for starting the application by double clicking.