You would add the JAR file to the Libraries in your project:
(source: netbeans.org)
As for the different JARs,
- joda-time-1.6.jar just contains the compiled classes (this is the JAR you need in order to use Joda in your project)
- joda-time-1.6-javadoc.jar contains the documentation for all the classes
- joda-time-1.6-sources.jar contains the source code for all the classes