Personally I think the Jazz-releases have been pretty messed up. Here's a "guide" (I haven't got CC so info may not be exact):
JJ2 (buy, shareware) = Episodes: Formerly A Prince, Jazz In Time, Flashback, Funky Monkeys, Shareware Demo - Characters: Jazz & Spaz
JJ2 TSF (buy, shareware) = Episodes: The Secret Files, Shareware Demo - Characters: Jazz, Spaz & Lori
JJ2 HH98 (buy) = Episodes: Holiday Hare '98, Shareware Demo - Characters: Jazz & Spaz
JJ2 CC (buy) = Episodes: Holiday Hare '98, Shareware Demo - Characters: Jazz, Spaz & Lori
So if you want full Jazz fun do as me (Steps 2&3 can be switched):
1. Buy JJ2, JJ2 TSF and JJ2 HH98 or JJ2 CC.
2. Install JJ2. Copy all music, episode, tileset and level files to another dir. Uninstall JJ2.
3. Install HH98 or CC. Copy all music, episode, tileset and level files to another dir. Uninstall HH98/CC.
4. Install TSF. Copy all music, episode, tileset and level files from the two other games to the TSF dir, don't overwrite any files.
5. Apply the new server patch.