Are you developing in C++ or Java? LWJGL or JOAL?
If your end goal is to use C++, then just go straight to it rather than using Java first. There are subtle differences programming in C++ vs Java; namely having to learn about pointers and how it changes various method parameters. For example, in Java/LWJGL we can write this without needing to worry about buffers or pointers:
int src = alGenSources();
(this "syntax sugar" is why I love LWJGL)
In C++ it looks like this:
If you're just using LWJGL, there is no building or anything required. Pick up the latest release of LWJGL
and OpenAL will be included. From there, simply start following some of the tutorials
to get started. (Note that the Wiki might be slightly out of date; it doesn't use the "syntax sugar" I explained above.)