I have a j2me application. I created a jar file and transferred it to a PDA using windows mobile.
But when I click on it trying to execute i get the message: There is no application associated with "filename". Run the application first, then open this file within the application.
You need to install a Java VM on your PDA first, so that you can run the jar.
Here's a link to a JVM that runs on Windows Mobile that might work for you: Mysaifu JVM
You will struggle to get it running as Windows does not support J2ME app by default. The only way to get it to run is if the windows mobile had J2ME Application Manager installed on it.
From the little work I've done on Mobile developments, most of the devices came with the application manager provided by the handset manufacturer. That said, I would check out the Mysaifu JVM suggested by @jvilalta.
As has been said you will need a Java VM installed on the PDA.
Most HTC devices come with one pre-installed. Java capability for mobile devices is integrated by the device manufacturers. You need to check with your device manufacturer about availability of this in your device.
KVM, the virtual machine for mobile devices, is the counterpart of JVM (Java virtual machine). It is used to run applets and applications written with Java technology on mobile devices. KVM must be installed by the manufacturer. It is NOT available for download or installation by consumers.
To install .jars on my HTC Touch Diamond I simply copy the .jar file onto the storage card and open it up with File Explorer. The JVM will take you through the install process.
Without knowing what your device is I cant help much more!