Create a script that contains that command line, and then run that - most recent KDE versions will be able to.
I often start Java apps that way.
I. e. create a file called "startbidwatch.sh" in a terminal emulator and make its contents to be
java -Xmx512m -jar JBidwatcher-2.0.1.jar
Make sure that the "java" executable is in your path when you are in KDE, otherwise you might need to provide the full path to it if the icon you create for it does not work.
In KDE, on the desktop, right-click and select "Create New" and "Link to application". Click on the Application tab, click on Browse and browse to the script.
This should do it! The resulting icon should be clickable and it should start the Java app for you.