Simply,
JAR stands for
Java
ARchive. It's like a ZIP (Windows) or TAR (Unix/Linux) file with multiple other files contained within it. So, in the case of the *.jar files--what you're compressing are classes that your application/framework needs.
...now...that was the very short version... if you're looking for a much richer explanation...
jump over to Behrouz Fallahi's page...
(http://www.devx.com/tips/Tip/13397) 