Getting JOAL to work for me has been less of a problem with the OpenAL libraries and more a problem with the location of joal.jar and joal.dll. The only way I can get this to work is if I do as Caoimhin suggested and drop them into the lib/ext directory of my jre.
I've successfully got Lesson1 running now. By installing the latest joal nightly build and droping them into the ext directory of the JRE I'm using, the application seems to run fine.
If I try any other configuration, I get errors in the native code.
I'm unable to use the ant target 'run', even with the files in the jre/lib/ext directory. For lesson2, I copied the 'wavdata' subdir into the classes subdir and ran by hand (java LoopingAndFadeaway).