Tutorial can be found here : http://www.ibm.com/developerworks/java/tutorials/j-jni/j-jni.html
Run make test to compile everything and run the main Java program. The makefile will detect your operating system.
Ensure LD_LIBRARY_PATH environment variable includes the current directory. A blank entry suffices. For example, /usr/local/cuda-6.0/lib64: will do the trick due to the trailing :.
Install make for Windows.
Install a 64-bit compiler version of gcc, or install http://tdm-gcc.tdragon.net/download.
Add the following to your Path environment variable (may be different on your system):
C:\Program Files (x86)\GnuWin32\bin;C:\Program Files\Java\jdk1.7.0_72\bin
Ensure that the JNI library actually exists in %JAVA_HOME%\include and that the directory %JAVA_HOME%\include\win32 exists.