It would be interesting to know what your problem was and how you fixed it. Primarily because I too had a problem while trying to jindex the java api docs.

Anyway, I'm using JEdit 4.2pre9 and JIndex 1.1

I worked out my problem by using:

(1)Utilities-Trouble shooting-I/O Progress Monitor
and
(2)Utilities-Trouble shooting-Activity Log

(1) This showed me that it was indeed processing the .jar files I had specified

(2) This showed me the error: out of memory! It fails silently in the gui, but fortunately it gets logged to the activity log.

Anyway, my resolution was to run jedinit.exe and increase the amount of memory available to the jvm:

I set the "command line options for java application loader" to:
-mx128m -DJAVA_HOME=C:\j2sdk1.4.2_03 -jar

(where -mx128m makes up to 128MB available, up from the 32, or something that it defaulted to. Now it indexes fine).

Incidentally, in case its helpful, I am using a LAN connection, so I am indexing via the sun website:
Library: c:\j2sdk1.4.2_03\jre\lib\rt.jar
Url: http://java.sun.com/j2se/1.4.2/docs/api/

I have also got it working by downloading and expanding the sdk docs so that they appear in
c:\j2sdk1.4.2_03\docs\api

Specifying the url as:

file:/C:/j2sdk1.4.2_03/docs/api/

also worked for me

Note the single / preceeding the drive letter, and also note that only forward slashes / are used.

I definitely recommend viewing the I/O Progress Monitor while its building the index, as you know when its finished...