.jnlp file is associated with Java Web Start. It needs to be executed by the javaws program. On running it, it downloads the necessary classes from the web and then launches the program.
On Ubuntu, a .jnlp file should be launched using the IcedTea Java Web Start when you click it in the browser or after downloading it in Nautilus.
If this does not work, find out if the javaws executable is available. You may need to install the
$ sudo apt-get install icedtea-netx
Find out the location of the javaws executable and use that to launch the .jnlp file. For example, on my system I used:
$ /usr/lib/jvm/java-7-openjdk-amd64/bin/javaws foo.jnlp
Tried with: icedtea-netx 1.2.3 and Ubuntu 12.04