I would like to know if all the steps of the "Getting Started" of the following website http://www.jmonkeyengine.com/wiki/doku.php?id=getting_started
are compulsory if I want to code in jME by using Eclipse ?
For use with Eclipse if you're not an amateur developer you can simply follow these steps:
1.) Use Eclipse to checkout the jME project as a new Java Project with 1.5 compatibility
2.) Copy the DLLs from the lib directory into your path or set it as your java.library.path in your Run options
3.) Run one of the Tests to verify everything is working properly
4.) Create a new Java Project and define jME as a Project in your Build Path.
That's it, you should be up and running with jME and well on your way to creating games in Java. If that is not all straight-forward to you it would be good to either go through the "Getting Started" as it says without Eclipse, or take some time to learn more about using Eclipse and Java before proceeding any further with jME.
Hope this is helpful.
For step 1, of course make sure you add the jars in jme/lib to your build path.
Also, alternatively for step 2 you can go into the constructed jME project's properties to Java Build Path and under Libraries, set lwjgl.jar 's native library location to jme/lib.
Yes, thanks for the correction Renanse. 
Thanks everybody !! 
There’s an article in the wiki specifically about setting up jME in Eclipse:
http://www.jmonkeyengine.com/wiki/doku.php?id=setting_up_eclipse_to_build_jme&s=eclipse