The jMonkeyEngine only loads and plays recorded animations. You must use a model editor to add animations to an existing model. This process is very different depending on the model editor and we cannot cover it here—please consult your editor's documentation for details.
In general, you have to complete three steps: you rig, skin, and animate the model in your model editor.
Rig your model using a bone armature. Parent all bones to one root bone. Locate the root bone at the origin (typically, on the floor between the feet of the character).
Animate the model by specifying keyframes. If your model contains several animations, turn the keyframes into action strips, and layer them in Blender's NLA editor. For example, create an idle and a walk animation.
Give each animation a name, for example "Idle" and "Walk". Export the animated model as Ogre3D mesh with skeleton.
In the end you should have the files...