Tom,
I am assuming here that you are using some sort of
IDE (C++/C) to write the JNI code. I am further assuming that you have a C++/C project to generate the DLL.
The IDE you are using should have a menu labeled Project. In the menu there should be a menu option called Property or Options. This will allow you to set the various properties for the project. Please find a tab pane labeled Directories/Conditionals (or something similar) which will allow you to specifiy the include files/directories, library files/directories. In the box for include files you will have to specify the directory where the jni.h file is. It does not matter which directory, as long as you specify the correct directory name here.
I don't know whether its required for JDK 1.3 or not, but in JDK 1.2.2 there is another directory root\JDK1.2.2\inlcude\win32 that also needs to be included in the C++/C project.
I hope this answers your question.