First, in Nautilus, navigate to wherever you extracted the mbforth.jar
file and right click on it. Select Properties and, on the Permissions
tab, click the "Allow executing file as program" box.

Then, you can right click on the mbforth.jar file and there should be an
option along the lines of "Open with OpenJDK Java 6 Runtime" - this
works on my PC.

Interestingly, firing up a terminal, cd-ing to where I have the
mbforth.jar file and typing "java mbforth.jar", which should also work,
throws an exception.