It says in the readme.txt file that comes in the zip:
You may also run the Space invaders demo by executing:
java -cp .;res;jar\lwjgl.jar;jar\lwjgl_test.jar;jar\lwjgl_util.jar; -Djava.library.path=native\<win32|linux|macosx> org.lwjgl.examples.spaceinvaders.Game
However, the folder with the DLLs in it is called 'windows', not 'win32'. And so I was getting the 'Unsatisfied Link Error'. It took me quite a while to realize what the problem was because I had cut and pasted into a batch file from the readme.txt file. I tried slashes instead of backslashes, quotes, etc...
Anyway it worked great once I fixed that. lwjgl is very impressive, I'm looking forward to using it.
-Kevin