The information here is applicable to the DLLs supplied with CLW3209DAL.
The NAG technical report TR2_09 gives full details of how to build the necessary interfaces using Java and Visual C++.
Remember that to be able to run the Java program, the NAG C Library DLL will need to appear somewhere in your current path. For example, if the DLLs are in C:\Program Files\NAG\CL09\clw3209dal\bin, then your PATH environment variable must contain this folder. If you are using the MKL-based version of the NAG C Library (CLW3209DA_mkl.dll), then the folder containing the MKL DLLs should also be on your path, but should appear later in the path than the bin folder for the NAG C Library DLLs, e.g.
C:\Program Files\NAG\CL09\clw3209dal\bin;C:\Program Files\NAG\CL09\ clw3209dal\MKL_ia32_10.2\bin;<rest of path>
Note that if the interface DLL (nagCJavaInterface.dll in the examples in the technical report) is not in the current folder when you run the Java program, its location will also need to be added to the path.