I recently followed the jME wiki :: getting_started instructions, and when I tried to run a demo, it would fail to run with an error of:
java.lang.UnsatisfiedLinkError: lwjgl.dll: Access is denied
I found other posts in the forms with this problem, but no solution.
For me, the problem was caused by using cygwin CVS to check out the source. Performing a chmod 777 lwjgl.dll under cygwin fixed the problem.