Hi,
it depends whether you are using JDI or not. If you use JDI, you only have to create an External Library DC and add the jxl.jar per Drap&Drop in Navigation panel to the DC. Add the file also to the public part. In the Web Dynpro DC add the External Library DC as used DC and deploy both DCs on the server.
The only error you can make is to deploy the components using "Deploy new archive and run..." -> this command won't deploy the jar and you have the same result as now. You have do build & deploy it step-by-step (Development Component -> Build..., Development Component -> Deploy).
If you don't use JDI, perform like described by Lakshmi.
Regards,
Martin