To setup your jetaudio player,you have to go into the preferences window.
Depending on the skin you use, the preferences button can be  located anyware on the interface.
At the default skin, the prefenence button you´ll find top left between the "allways on top" and the "change skin" icon:

if you can´t find a preference button, at the skin you prefer , you can use the "Alt+P"keyboard shortcut,
or you can rightclick at the skin and choose "Preferences" from the mouse contex menu:

Now, an new window pops up with an menu on the left where you can choose the option group
and on the right side you can change the settings:

For more information about the general settings read the next article : Preferences / General Settings