Not sure what you mean. You need to have whatever software is needed for your hardware, for example SteamVR for HTC hardware. If that is installed, you simply need to add the required code to your application, see the links I posted above for that. If you are using the SDK, I am not sure but I thought that the VR module was included, otherwise you will need to download and add the jar yourself. If using gradle/maven, simply add the jme3-vr artifact.
As posted above, see JMonkey + VR + Oculus DK2 - Guide? - #4 by tlf30 for a fully working example. I recommend commenting out the registerVr() call until you know what you are doing, as it registers your vr exe with steamvr, and most likely you are not yet packaging a exe launcher with your application yet, but when you go to distribute your VR application, you will want to make a exe launcher for it that gets registered with steamvr.
Hmmm, I thought I had posted somewhere on the forums how to build a exe wrapper to launch the jvm, but I cannot find it, but when you get to that point I can provide instructions on how to build the exe launcher.