For every optional/additional APIs for J2ME (e.g. Mobile Media API), you need to specify that you want to use that API for each project you created. This can be done by selecting "Settings..." menu item under the "Project" menu. For example if you open BluetoothDemo application available in J2ME Wireless Toolkit, you can access to "Project Settings" window as shown in the following image:
After clicking on the "Settings..." menu item, you will see the following screen :
Figure above shows that BluetoothDemo project requires "Bluetooth/OBEX for J2ME API (JSR 82)".
If you select the required APIs for your application here, you should not get errors like "package javax.wireless.messaging does not exist". This error message indicates that the application trying to be compiled requires the Wireless Messaging API and it can not be found in the classpath. For a successful installation of J2ME Wireless Toolkit, selecting Wireless Messaging API in the "Project Settings" window should solve this problem.