1) right-click TestedApps in your Project window and click Add->New Item
2) select Web application
3) when it prompts you for the page url put in the http url from your jnlp file that ends with .jnlp
4) click Autorun on application recording checkbox so it launches your jnlp app automatically
In my case, I chose the Mozilla browser. When I click Append to Test, the Mozilla browser opens which immediately launches my jnlp app. I was attempting to launch it via Java Console, which is what I'm accustomed to, but I don't see a downside to this approach. It immediately began recording actions on my client launched via Mozilla. Pretty neat.