I assume that the Java side of JOGL uses JNI (Java Native Interface) to interact with native libraries. JNI uses the Java system variable java.library.path to find the native libraries. You can install it on the command line using the -D switch when starting a Java application:
java -Djava.library.path=/some/path mypackage.MyProgram
It may also be that your own system does not pick up the correct OpenGL libraries. On Linux, you can set the environment variable LD_LIBRARY_PATH to indicate where Linux should look for shared libraries. This page explains more (see section 3.3.1).
Please note that you can get the JOGL source code on the JOGL homepage, so if you really want to know, you can download it and start digging into it.
(why is there a silly restriction "new users can send only one hyperlink" ????)
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