You'll see the text "Searching" at the top of the Wiimotes-section where the battery level will be shown later. All other controls are disabled until a Wiimote has been found.
Connect your Wiimote by pushing the 1 and 2 buttons at the same time or press the red button under the battery case. From the WiiRemoteJ-README:
"Important note: DO NOT connect the Wii Remote via your computer's bluetooth programs or utilities. WiiRemoteJ handles the entire connection process. If you connect the remote via the computer's utilities, WiiRemoteJ will not be able to connect to the remote (it'll throw an exception).Once the Wiimote is connected, you'll see the battery level where the message "Searching" has been shown previously. On top of it, you can see which LED has been lit on the Wiimote and the color assigned by the program (the color of the surrounding box, currently white or pink). The color is used to distinguish IR dots at the "Visible IR dots" and the "IR Camera Monitor".
Note that if you have a Wii running and the remote has been synced to it, it will connect to the Wii and not your computer. Simply turn the Wii off, and then connect the remote. You can then turn the Wii on again if you like (if you are using its sensor bar, for instance)."
Note: You can currently only connect up to 2 Wiimotes.