You can install the JMF wherever you want - so long as it's accessible to all users that will need to use it. Judging by your JDK path, you can probably use ~/sft_ins/jmf1.2.1/ without any problems.
Compiling a Java program that requires JMF libraries is a Java issue - if you set your classpath right, you should be able to
import the required classes from the JARs. In any event, if you have any trouble you'd be better off asking in a Java forum as it's not a Linux-specific issue.
Assuming that you're using the bash shell (which is likely unless you've specifically changed it), you can set an environment variable by using the 'export' command. For example, to append the above directory to your PATH you would use
Code:
$ export PATH=$PATH:/home/dinesh/sft_ins/jmf1.2.1
This will only set the variable for the shell it is issued in - to make it happen ever time you log in, add it to your ~/.bash_profile.