I downloaded the file, extracted it and placed its contents inside a folder named fir4j on my desktop.
Then created a launcher by right clicking on the desktop and used the following command inside a desktop launcher:
java -jar /home/gacanepa/Desktop/fir4j/fir4j.jar
Then saved it, doubled clicked on it and voila, it worked like a charm.
Let me know if you need additional help or detailed step-by-step instructions - I'll be more than glad to help.