Login to Splunk Web and browse to Manager->Data Inputs->JMS Messaging->New
Enter the values for the various fields as described in the UI. Your JMS admin should be able to provide these for you.
Ensure any client specific jars for the JMS provider you are using are placed in the : $SPLUNKHOME/etc/apps/jmsta/bin/lib directory
Readme docs are here : http://splunk-base.splunk.com/apps/69562/jms-messaging-modular-input
If you don't see the JMS input , then you have an error in your setup.
Look in the splunk logs to diagnose the error. The easiest way is to search the splunk logs from splunk web : "index=_internal ExecProcessor error"
Also , have you read and followed the docs verbatim ? Run through the troubleshooting steps verbatim ?