I have just set up Jplayer and it is working on chrome, but not on ie or firefox. I set up the demo first and it worked on all three browsers.
I suspect it has something to do with the swf player, but I have no idea what is wrong.
EDIT: Found out what was happening. In the Jplayer js, the swfpath was relative ("js/swfpath"), I changed it to absolute and it worked fine.
The strange thing is that the Net tab in firebug told me that the swf was being correctly downloaded..