2.0-0 on, the latex style file
axodraw4j.sty is not distributed with the core JaxoDraw
program. You have to download and install it separately.
Please check the prerequisites before downloading the binary distribution.
If you have downloaded this distribution of JaxoDraw,
you may unpack the tar.gz archive with
tar -xzf jaxodraw-xxx_bin.tar.gz
This will create a directory named JaxoDraw-xxx in the current directory. To run the program type (from inside this folder)
java -jar jaxodraw-xxx.jar
Depending on your OS and setup, you might also just double-click the jar file.