To be specific, this is what you want (fill in the path where appropriate):
java -Djava.library.path=/usr/share/lwjgl/native/linux -cp .:/usr/share/lwjgl/slick/lib/ibxm.jar:/usr/share/lwjgl/slick/lib/jogg-0.0.7.jar:/usr/share/lwjgl/slick/lib/jorbis-0.0.15.jar:/usr/share/lwjgl/slick/lib/slick-util.jar:/home/knoppix/JMF-2.1.1e/lib/jmf.jar:lwjgl.jar:lwjgl_util.jar:jinput.jar:mymusicplayer.jar: MusicPlayerClient
Also, it looks like you're using the LWJGL provided in the Linux software repositories, unless you installed LWJGL to "/usr/share..." yourself. LWJGL in the Linux (Ubuntu/Debian that I'm aware of) software repositories are very outdated. If you aren't using those, then disregard this last paragraph.