To build JThread and JRTPLIB, you'll need to use 'cmake' to generate 
the project files. Below you can find the procedure you can follow. 
I've also created a screencast which illustrates the steps in making 
the library. You can try one of these files (it's the same file, in 
different video formats):

http://research.edm.uhasselt.be/jori/jthread_jrtplib_example_mpeg1.mpg
http://research.edm.uhasselt.be/jori/jthread_jrtplib_example_mpeg2.mpg
http://research.edm.uhasselt.be/jori/jthread_jrtplib_example.avi

In words you'll need to do the following. As an example, I'll assume
that jrtplib is extracted into c:\projects\jrtplib-3.9.1 and jthread
is in c:\projects\jthread-1.3.1

First we'll build jthread. Start the CMake gui and enter
c:\projects\jthread-1.3.1 as the source directory and
c:\projects\jthread-1.3.1\build as the build directory. Then,
before doing anything else, you'll need to specify where the library
should be installed. I always use c:\local as the prefix, which will
install the headers in c:\local\include and the libraries in
c:\local\lib. To do this, add the cmake variable
CMAKE_INSTALL_PREFIX and set it to c:\local

Then, press 'configure'. When this first configure step is complete,
press 'configure' again, and afterward press 'generate'. There you can
specify to generate a visual studio project. When this is done, open
the visual studio project (you can find it in
c:\projects\jthread-1.3.1\build) and run the 'INSTALL' project.
When this is done, select the 'release' build type, and run the
'INSTALL' project again. If all went well, you should find the
jthread headers in c:\local\include\jthread, and the jthread library
in c:\local\lib.

Then, follow the exact same procedure for jrtplib. By using the same
installation prefix (c:\local in my example), the cmake script will
automatically detect jthread as well. After building and installing
jrtplib, you should find that the examples are built as well, and
that you can run them.

To use jrtplib and jthread in another project, you must then do the
following:
- in the project settings, add the include directory
  c:\local\include to the list of include directories (for debug and
  release builds)
- in the project settings, add c:\local\lib to the list of library
  directories.
- for the release version, add jrtplib.lib, jthread.lib and
  ws2_32.lib to the list of libraries
- for the debug version, add jrtplib_d.lib, jthread_d.lib and
  ws2_32.lib to the list of libraries.

In your program files, include a jrtplib header like this:
#include <jrtplib3/rtpsession.h>
and a jthread header like this:
#include <jthread/jthread.h>