I know this is an old thread, but in case anyone else gets here after having the same problem, the way to do this is to first package the .dll, .so, .dylib, etc. (compiled for whichever OS's you are targeting) into .jar files, and sign them with a valid certificate.
Then, in your jnlp file, you use the <nativelib> tag to let Java Web Start know about the native library. You'll want to check the OS to load the correct .jar. An entry for Solaris, for example:
<resources os="SunOS" arch="sparc">
Then you link to the native library in your code the usual way, like so (assuming you called your library "openalsoft"):