My understanding is that the .jad file is like a description file that gives basic information about what the users are about to download. It basically prompts the user to ask if they want to download the game. At which point the jar file is downloaded.
The .jar file is where the game and it's resources actually exist. For testing I usually just upload the .jar file and get my mobile phone to download that, but if you plan to sell your game I think you have to provide a .jad file as well as a .jar file.

Ahem disclaimer These are mainly my assumptions of how these things work as I have yet to try and sell any sort of mobile content, though I know that my MIDletPascal game works on Motorola V525 and the new V3 phones.