Its very easy.
1. Go to this page:http://www.lwjgl.org/download.php
And download LWJGL (the one with the most downloads)
2. Extract the zip into a folder you will remember
3.Open Eclipse (if you aren't using Eclipse then stop reading because I don't know how to do this with any other IDE.)
3. Create your project.
4. Right click on project and select properties (or ALT+Enter)
5. Click Java Build Path on the left
6. Click Add External Jars
7. Navigate to the LWJGL folder you created and add these jars from /jars:
These are the two basics ones you will almost always need
8. Click the little arrow next to the lwjgl.jar and click Native library location
9. Navigate back to the LWJGL folder and go to native/your_os and hit ok
And you're done!