Well first you have to download the client
http://www.ninjam.com/downloads/ninjam006-install.exe
Install it.
Run It. When you run it you will get the Ninjam console screen. To join a server you have to File -> Connect type in the server address
eg
test.ninjam.com:2049 - has the most people
test.ninjam.com:2050
test.ninjam.com:2051
test.ninjam.com:2052
nunserver.com:2049
you might have to open ports if you are using a router or a hub,switch etc.
Only routers block ports, most hubts,switches etc dont.
Just google simple open ports in google or post here.
You should plug your guitar into your computer soundcard line in or mic plug but if you have a proffesional studio grade sound card then this shouldnt be explained.
Here are some simple ways of connecting(You might need an adapter for this, eg big to small)
Guitar -> Computer
Guitar -> Preamp -> Computer
Guitar -> Amp(through phones jack or output jack) -> Computer
Note* You shouldnt have any of your guitar sound through another speaker. Ninjam will proccess all sounds from your guitar and remote channels and amplify them out your computer speakers, headphones etc.
After you connect to a server. There will be a few diffrent channels.
Local channels = Yours
Remote channels = Others
There will be settings you can change. eg, db , effects proccessor, etc
Heres another setup guide.
http://seeyouincyberspace.blogspot.com/ written by JohnathanRasin
And you cant really join in "through jemsite". But there can be a jemsite server which needs to be hosted by someone.