A jnlp app is a file format that defines how to launch a java executable over the internet. It defines the location where the executable is, and what version of java is required. Opening the jnlp to download and launching the app requires an installed JRE, or there is nothing to interpret the jnlp and go get the application.
There is, iirc, a utility that will wrap a jnlp file and go get a jre. I forget what it's called, but it makes jnlp apps more like an auto-updating standard app.
The benefit of the jnlp approach is if you can guarantee your users have java installed, then they don't need to install your app. Just click a link, then a java app self-downloads, installs and sets up a shortcut on the desktop. And it updates whenever they open it and a new version is detected.
JNLP did a good job of solving the app distribution/update problem, but required that you already had the JRE installed. Not too much different from assuming a browser is installed, but I found it much less likely that a user would take the initiative to install a JRE than a browser. They just don't understand what they are doing or why in the case of the language runtime.
That said, it did work very well, in my experience.