I just downloaded JMonkeyEngine and it will not do anything when I click the icon. Any help is appreciated, please tell me if you need more information.
You must install java & You must learn to program in java.
Since you don’t even tell what operating system it is impossible to give better advice 
Operating System: Windows Vista
Oh, sorry, I don’t have windows so I can’t give much advice. Maybe you could open a command window and try to run the exe-file and see if you get to see error messages that way.
Make sure the jdk is properly installed before running the engine/sdk by typing “java -version” in console(cmd). If not,download it there:
jdk 7 for windows 32 bits
or there:
jdk 7 for windows 64 bits