You need the JRift dll and you need to point to it using -Djava.library.path. F.eks java -Djava.library.path=./lib -jar MyJar.jar
There is dll as part of the alpha that is linked on the jrift page: https://github.com/38leinaD/JRift.
It is only windows 32 bit. If you use another java vm you need to compile it yourself. I know there is a Visual Studio 2010 project as part of the source.
If you do this you may get another error message that says depending libraries not found. This is because the alpha dll was a debug build and it requires Visual Studio 2010. This can be solved by either installing Visual Studio 2010 or a redistributable.
I have tried the alpha dll and it works.
Have not got the rift to run correctly in jMonkeEngine. If you get that up and running please share.