How do you know that the command isn't executing from the JWM menu? All it does, you said, is output a few lines of text to the screen. So all it's doing is sending the text to STDOUT. If you don't have a terminal, STDOUT is either the terminal you started X from or your .xsession-errors file if you're using a display manager.
You probably want to add something like this to your JWM menu: 'xterm -e /usr/local/bin/your-program'
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