SRB2JTE is not a stand-alone mod. It does require SRB2 to work.
When you download the ZIP and open it, it will contain SRB2JTE.exe, and SRB2JTE.wad. BOTH of these files must go into the same folder that SRB2 is in. Otherwise, it will not have access to the data it needs in order to run.
If you have the SRB2 launcher, open it up, and look for 'alternate EXE'. Check the box, and type in 'SRB2JTE'. Check whatever other options you wish.
If you do not have the SRB2 launcher, than simply double-click SRB2JTE.exe.
If you wish to play SRB2JTE in OpenGL mode, create a TXT file. Write in it "srb2jte.exe -ogl". Rename it to 'SRB2JTEOGL.bat'. You'll get a pop-up asking if you want to change the file extension. Click Yes. Then, double-click the new .bat file whenever you want to play SRB2JTE in OGL mode.